And Neither Have I Wings to Fly, is just such a show. Set in 1950s Ireland, this heart-wrenching play has been making its way up through amateur circuits, and will hopefully continue to climb. Most notably, the Steppenwolf and the Pegasus Players used The Theatre Building as a step on their way to becoming independent companies. A good venue to keep an eye on, nevertheless. It is closely related to Performing Arts Chicago, which gives it access to a lot of energetic and interesting shows.
Tickets tend to cost in the thirties, but the performances are almost always worth it.
Act quickly, though, as shows at the Athenaeum don't tend to stay in town for very long. Aside from those found in these rental spaces, there are still a number of small to mid-sized companies in Chicago which either have their own theaters or rarely work in these rental spaces. This theater company was founded in part by former U of C students and counts among its own alums Dan Akroyd, John Belushi, Harold Ramis, along with a ridiculous number of former Saturday Night Live cast members. Second City itself has ensemble performances Tuesday through Thursday and on weekends. On week nights, you can often catch free improv at 10 p.m., after the regular shows.