Whole World Theatre is very funny. You should also try Dad's Garage Theatre off Elizabeth Street in the Inman Park neighborhood. They have improv every Saturday night at 10:00 pm, and some rather funny productions on other evenings. Their website is: http://www.dadsgarage.com/.
I have yet to go, but I also hear Sketchworks is funny too: http://www.sketchworkscomedy.com/.
Keep on laughin'!