Improvisational theatre, often called improvisation or improv, is the form of theatre, often comedy, in which most or all of what is performed is unplanned or unscripted. The performance is created spontaneously. 

Learn more about improv:
The Improv Page
Improv Wisdom
International Theatresports™ Institute
Keith Johnstone – creator of TheatreSports
Second City
Viola Spolin
Wikipedia – Improvisational Theater

Or improve your improv skills with these resources:
Iprov application for your iPhone
 – over 250 games and handles at your fingertips
Living Playbook – improv games and guidance from Unexpected Productions
The Playbook: 370 improv games for performers – by William Hall (one of the founders of Bay Area TheatreSports™)