I'm taking acting classes at school right now. I highly reccommend that every magician takes them. David Blaine took them, look where he is now.
Second, anywho I have sit in on some lectures on improv, the real only problem I have is not letting loose, I am very subconscious at times. Furthermore I did find it helpful to create a character script outline, with subtext before we did the improv show at a thespian convention once.