SVT is known for their cutting edge theater, but a lot of people don't know that they have comedy there too.
I teach improv comedy classes at the Merlin Works Institute for Improvisation at Salvage Vanguard Theater. Their improv classes are awesome, and so are the improv shows from Gnap Theater Projects on Saturday nights. The biggest improv festival of the year is there, too.
Pros: Great shows, lots of parking, 2 big theaters and a gallery
Cons: Not alot of bars in walking distance