I took an improv comedy class recently to add more fun and spontaneity to my life, and I got lots of those things, but I wasn't expecting it to feel so much like therapy. In a way, though, improv is just like play therapy for adults. It provides valuable counter-conditioning to help people face not just the pressures of performing spontaneous comedy in front of other people, but the pressures of of life in general. Here are some of the lessons every improvisor is taught, and every person should know.
Don't perform; just have fun - perhaps the first lesson of improv is this: stop trying to perform and start playing. When you embrace the moment in play rather than try to control and plan as you would in performing, you're less self-conscious, you have more fun, you're more responsive to others and easier for others to respond to.
Embrace failure - beginning improvisors are taught to take "failure bows" - deep bows accompanied by a proud declaration, "I failed!" when they get that feeling of "oh geez, I screwed up". Maybe you didn't respond quickly enough, your mind went blank, whatever. When anyone takes a failure bow, the rest of the class claps and cheers. Everyone aims for at least one failure bow per class. When we're not so afraid of failing in improv or life, we take setbacks with more grace. Plus, failures make for good comedy both on and off stage.