So here's my story, what I did, what I'm doing, what you should be doing, etc.
I took all of my "core" improv classes at The New Movement. Since Austin is such a small city (comparatively to NYC) it was easy to perform at other theaters after having been around for a while WITHOUT having to take that "other" theater's classes. After three years of improv and sketch in Austin I moved to NYC. Regardless of that experience I had to start over again. Everyone does here.
I decided to take Improv 101 at UCB on the traditional track, meaning eight weeks of three hour classes plus a class show. A lot of people with improv experience take the Improv 101 Intensive which is completed in under two weeks, but as I have a day job I couldn't swing it. Then you just hustle up through the levels from 101 to 401. After 401 you then apply to Advanced Study Improv by writing a letter of intent and a review of your teachers notes. After Advanced it's more classes (called ASP or ASH or ASI) and (slightly) more opportunities to perform at the theater. For instance, once you're in the advanced program you're eligible to audition for a Lloyd / Harold team.
Signing up for classes is easy, in the sense that it's all done online. It's hard, in the sense that the only way you will know that a new class has posted is by following the UCB Classes twitter account. Classes sometimes sell out in minutes, so if you're on the hunt for a class follow that account and get those sweet sweet phone notifications.
Classes are $400 a pop. It sucks. I ended up interning for six months (the minimum commitment) and got two free classes out of it. I interned during Asssscat so it was awesome. Not sure how other people have fared in their experiences.
Performing: Get ready to do improv in empty basements for the next few years. And you won't do much at UCB outside of your class shows. It's hard as fuck to get stage time there. Instead start indie teams with friends / classmates / etc and book shows at spaces like Triple Crown (Irish dive bar basement) Legion (cool bar in BK) The Treehouse (new smaller comedy theater) and The Creek (LIC comedy club) among others. Do this! Do this as much as possible. The more you can perform the better. I mean, don't burn yourself out (which I've done several times). But really, the only way to get better or, at the very least, to have more confidence is by doing shows. Fuck it if you're new. Just go. Classes are great learning tools but if you're not performing you're never able to use those tools.
UCB also offers improv jams that are open to everybody, you don't even need to study with UCB. They're Mondays, Wednesdays and Sundays at UCBeast but they're late at night (so I rarely go). If you can stay up, go! It's hard to meet people at the theater just because it's so damn big. Jams are a good way to start making new / awesome / weird / comedy friends. Plus it gives you an opportunity to play with seasoned performers you might not otherwise have a chance to perform with.
A new theater (new to NYC at least) is called The Annoyance. This is a cool theater to check out because they're pretty open to letting new people come play or pitch show ideas. Also they're in Williamsburg and they're space is pretty dope. I took a Level 201 class there but was not impressed with their teaching style. I prefer and would recommend UCB for classes.
Ultimately you need to decide what you want out of improv. It's not a career path but it can put you in touch with a lot of people who can give you a (writing / acting / producing) career. Maybe it's just a hardcore hobby? That's where I am at with it right now. The theater asked me to audition for UCB TourCo last summer (which is insane) and I did not get a spot. But it was so fun and flattering. And then a few months later someone dropped off and now I'm on TourCo and I get paid to do improv. This was NEVER my goal and is a rare thing. I am beyond lucky.
I guess my goal has always been to get better at improv and it's for no one other than myself. So, just do this shit for yourself and see where it leads you.
YES AND, GOODBYE.