What is this?

Improv is the art of making things up. A group of people get together and conceive of scenes and ideas that have never come together in that way before. It's theater, usually with some semblance of a narrative structure that imparts things happening, but with no script or lines for the performers.

And everything relies on the combined imagination of the audience and the performers. There are no sets, there are very few to no props (usually a couple places to sit, at most). But because we're working together, the performers will usually ask audiences for suggestions to inspire their creativity.

Though improv is often funny, it doesn't have to be. The best improv is something that seems real, even if the situation or characters are completely absurd. The principles behind improv (including the ability to think on one's feet, react to changing circumstances, and find radical agreement with others) are often beneficial in many other walks of life, including artistic endeavors, business, and a wide range of professional disciplines.

In the US, improv often falls into one of two categories, shortform and longform. Shortform is what you've seen on Whose Line is it Anyway? - a series of games with nothing connecting one to the next. Longform is a collection of scenes with some overarching theme tying them together, usually between 20 and 60 minutes in length and presented in a huge variety of formats.