This is my own personal experience and opinion of the conservatory program and in no way is this affiliated with Second City.
I assume you're reading this because you're someone who's interested in joining the program. I'll save you the time of reading all of this babel by saying, do it. If you're serious about improv, sketch, or acting you will greatly benefit from this program. The rest of this is my take on the experience and stupid jokes.
If you didn't already know, Second City's Conservatory is an advanced improv program that teaches students how to perform improv and use it to write sketch. It's a 6 level program with each level lasting 8 weeks. There are limited spaces in the program so you must first audition. The prerequisites to audition are to have at least one year of improv experience and to have completed at least one acting class at the post high school level. You can still apply for an audition if you do not meet these requirements, but you need to submit a special form to the training center first. The audition itself is a pretty standard improv audition filled with nervous people who are desperate to please, but like every audition you should really just try to have fun. Some people are worried that if they don't make it on their first try that they'll be judged by their friends. Well, if your friends think less of you because you didn't make it into the program then maybe you should get better friends. You could always go adopt a pet. They won't judge you. PAWS is a good place if you're looking.
This program is for people who take improv/sketch seriously. If you took level A through E classes you might have had people who are just doing improv for fun or they're sick of their husband and kids and need to get out of the house. Most of the people in Conservatory are there because they take improv and/or sketch seriously. That's what makes this program so awesome. You're learning and performing with other people who have the same passion as you. You'll also learn that many of these people are just as sad on the inside as you are.
If you have a good audition and are accepted into the program you go through levels 1 and 2 with the same class. Second City likes to keep the same students together so you can better form a bond with your classmates and this helps during improv and sketch performances. During my time in these levels we focused on advanced improv techniques and character development.
After level 2 you have to audition again to move into level 3. HURRAY MORE PRESSURE! These auditions are a little more intense because they only have a select number of spots available and if people didn't make it from their last audition 8 weeks ago they can come back and retry. So you have a ton of people trying out for limited seats (and this is for a class that you pay a lot of money for). If you don't get in it's not the end of the world because you can just take another class offered at Second City or somewhere else around the city. So really, if you had a bad audition it really only puts you back 8 weeks and that's nothing in the long run.
The whole program is filled with extremely talented and fantastic teachers. The best of the best are teachers in this building and some of them really show how much they care about your experience even though they're only with you for 8 weeks. My class had Ryan Archibald for level 5 and he was nothing short of fantastic. If you kept doing something wrong Ryan will let you know and he wouldn't let you get away with it in the future. It's not because he gets some sort of weird pleasure out of it, but because he wants you to get better (which I guess is a weird pleasure too). Those are the kinds of teachers that really help you become a better improvisor. If you're more worried about how you look infront of the rest of the class and like the kind of teacher that just gives praise then you're really just paying for an ego boost. In every acting class you also have to learn how to take criticism and be willing to change. Otherwise why are you there? You should be at home working on that epic one person show you've been working on. That'll show everybody how funny you are.
After a year of classes you'll finally start putting up sketches. This will change the class dynamic because you'll be pitching sketch ideas in class and trying to get your sketch in a show. With a large class and not everyone is going to have a sketch that makes it into the show. At the end of level 6 you will get to perform a 4 week run of sketch shows after your previews. Typicaly your running order is set by this point and everyone in class returns to normal behavior, but every class is different. Maybe those two people who have been hooking up since level 3 will have a big fight in front of everyone and their "Finding Love in Improv Class" scene will really just be a weekly reminder of the passion they used to have.
Odds are you'll have the chance to work with Norm Holly. Please just trust this man. Just because he doesn't wear a unisex bombay jacket or smokes American Spirits doesn't mean he doesn't get you and your "art hipster" ways. He knows what he's doing and I think the biggest mistake you can make is n0t listening to his notes about a scene. I would always incorporate his notes into my sketch even if I knew that sketch wasn't going to make our student show because I knew I would probably end up using it later and to ignore his experience would be a waste. Also, really trust the running order he gives you. Norm can poop a running order and it will probably come out better than anything you try to mush together.
So what are the cons of the program? Well you're strictly learning the Second City style of performance. If you don't enjoy that style then you might not have a fun time. I would also say that the first two levels don't feel like the rest of the program. They feel more like a giant review of improv skills rather than an advanced class. And just like any other acting class you do run the chance of running into a teacher that doesn't care as much as you do. You're that young improvisor in "the big city" trying to work your way up and become FAMOUS! They're already deep into this and some have had too many negative experiences.
There are tons of great opportunities with Second City once you've finished the Conservatory program. I would really recommend submitting sketch/improv show ideas to be put up in Donny's Skybox or The de Maat or auditioning for Twisty. A lot of people make the mistake of just sticking with Second City. Sure it's a great place, but there are ton of other awesome big name and small name theaters around this city.