Shows to See in Chicago and New York Comedy The iconic iO Theater in Chicago is a family favorite. If you go to Chicago, if you love long-form improv, if you have no idea what that is, consider catching a show! Song Chicago is a wonderful city for classical music as well as improvised comedy. Focused on art song, Fourth Coast Ensemble is a remarkable quartet featuring unusual events in a variety of fun and stunning venues. Dance If you love dance, all kinds of dance, if you’ve never seen live dance, then a show at the Joyce is a must-do the next time you’re in the Big Apple! It’s one of my favorite theaters.Image by Franck Bohbot.