When it comes to learning improv there are a lot of differences and similarities between these theaters. The type of teachers you get at each level will really define your overall experience, but this post will focus on the general teachings of each theater. If you’re still not sure where you want to take improv classes then this should help you understand a little about the theater before starting. You can also read my "Review of Second City Conservatory" or "Review of iO Training Program" for a more indepth look.
iO is focused on group play and taking care of your scene partner. These are critical when you're trying to make one big group cohesive piece like the Harold. Improvisors who are successful at iO are good with characters that care about who they're with and what they're doing. Players who react emotionally and give a lot of gifts are key to a good Harold.
Second City uses improv as a tool to write sketch. The improvised shows at Second City are typically 2 or 3 person scenes that start, end and that's it. The lights go down, the lights come back up, you get a new suggestion and start a new scene. It's not a group piece, but a set of scenes that hopefully you can take something from and write a sketch about. If there is a group piece it’s usually done in a style. Performers who are also great writers and have a writer's mind do well at Second City. You don't see much of this in the level A through E program because they're teaching you how to perform solid improv. Their Conservatory program is where you really see this style.
The Annoyance is a lot like iO except you're taught to take care of yourself. At Annoyance they believe that if you take care of yourself you’re taking care of your scene partner. Build a strong character and focus on the scene when performing. This will help your scene partner in what they should do and help them understand what's going on.
All three are very important to the improv community and a great improvisor can be successful at all of them. Having these theaters is a big reason why Chicago improvisors are able to become so well rounded as players. Personally I don't think there is a set right or wrong way to improvise and learning different techniques from different theaters really helps you understand improv.
Rachael Mason says there are three parts/types of improvisors: the heart, the head, and the x factor. We all tend to be more of one type, but a good improvisor pushes to become equal in all these. If these theaters were improvisors then iO would be the heart, Second City would be the head, and Annoyance would be the x-factor. (More on the heart, the head, and the x-factor here)
Keep in mind that these aren't the only theaters in town that have teaching programs. Places like ComedySportz, The Playground, pH Comedy Theater, and Chemically Imbalanced Comedy all have great programs. I'll save those for another time.