The answer is Asssscat 3000.
Asssscat 3000 is an improv comedy show played at the Upright Citizen's Brigade every Sunday at 7:30pm and 9:30pm. It is led by the founders of the UCB (including Amy Poehler of SNL fame)....
The way it works is five comedians and one
The entire show is improvised, but you would be hard-pressed to notice. The actors all have great comedic timing and a chemistry that makes for hilarious short skits. Even when some of the ideas fall flat, the they manage to get a couple of good jokes in. In all, the show is 1 1/2 to 2 hours of laughs.
Two things make the show even more special: the actors and the price.
Aside from getting top notch writers performing, you will usually have a celebrity in the bunch. Most likely it'll be Amy Poehler or some other SNL cast member. When I went, Amy Poehler was away, but instead John Lutz (Lutz) and Jack McBrayer (Kenneth the Page) of 30 Rock were there. And during the writer's strike, Michael Cera performed on Asssscat 3000 / SNL combo show.
Most comedy clubs charge something like $20 plus a two drink minimum for a show. Asssscat 3000 tickets? They only run you $8 ($8.90 if you order online) for the 7:30 show, and free for the 9:30 show. What's more, their beer is $2-$3. This is probably one of the best deals you'll find in the city.
Such great deals do not come without caveats, however. Advanced tickets sell out a week before each show, and people start standing on line for the 9:30 show at around 6:00 or even earlier. Even if you do buy tickets in advance, be prepared to get to the theater by 6:45 or earlier to get really good seats.
Also, for $8/free, don't expect any kind of luxuries. The UCB theater is a small, tightly packed 150 person theater with seating in directly in front of and along the sides of the stage. The best seats are in the front and center (obviously). But if you're brave enough, you can sit on the floor, almost literally on the stage, with the actors about 2 feet away from you.
In all, Asssscat 3000 is a typically New York 20-something place to go. It's freakin' hilarious, cheap, and grungy. I would highly recommend spending your Sunday night at Asssscat 3000.