So you're new to the improv community and you want to know which improv company is best for you. Both are fantastic places to learn (probably the best in the world). It really comes down to what you want out of the experience and how seriously you're taking these classes.
The Second City
Atmosphere: The Second City is Chicago's largest improv company and probably the most famous. The building that Second City is in, Piper's Alley, has several theaters, a comedy club, writing spaces, and classrooms. It's always full of people buying tickets, students going to class, and performers writing sketch. It feels like the union at a university.
Philosophy: Second City doesn't just focus on improv, but also sketch comedy. Improv is used as a writing tool that you use to make great sketches and test out material.
Classes: Everyone seems to know who Second City is, even if you're not an improvisor, and because of this typically your classes will be a mix of serious improvisors, actors, comedians, and people just taking the class for fun.
Atmosphere: iO recently moved from their cozy two stage theater to a bigger four stage venue. The new space is large and more professional with more of a bar feel.
Philosophy: iO views improv as it's own art and focuses on making you a better improvisor. You are exposed to many improv styles, techniques, and forms, but the main focus is on the "Harold" form.
Classes: You will basically have the same mix of people as Second City, but the vast majority of your classmates will be serious improvisors. I don't think I've met one person at iO that wasn't taking an improv class somewhere else or on an independent team.
If you're a serious improvisor taking both is the best option because you'll learn different skills from both programs that are essential. You don't need to take both at the same time. I suggest taking iO first because after graduating from their program you are allowed to skip levels A thru E at Second City and try out for the Conservatory program. Second City's Conservatory classes are more advanced and involve an audition process as you move up.
Just taking a bunch of classes isn't going to make you a better improvisor so it's also a great idea to start an independent team. After a few levels of classes find people that you enjoy improvising with and get together to practice. You can check CIN for improv coaches that will really give you the personal coaching you need. Once you feel like your team is ready you can start performing at various places around the city like Studio BE, Upstairs Gallery, The Playground, or Cornservatory.
It's also good to remember that iO and Second City aren't your only options. There are plenty of awesome places to learn improv in this city. The Annoyance Theater, Chemically Imbalanced, The Playground, and pH Theater are just a few that you should check out and they're all top notch.