You guys should totally play Pittsburgh. Jeselnik is right, avoid the Improv - but there are plenty of venues and alt locations throughout the city that would love an interaction with Sklarbro nation. When the Comedians of Comedy came through they played Mr. Smalls Theatre which is an excellent location.
I liked how you got into some hockey with Anthony, and if I have my way, I'd love to see a St. Louis Blues/Pittsburgh Penguins Stanley Cup Final this year. The Blues are a solid team this year and it'd be killer to see them go deep into the playoffs.
Listening to you guys got me thinking about the 2009 cup run for the Penguins. It's exactly the kind of story you guys love, proving that sports is the greatest source of natural drama. Just the year before the young, inexperienced Pittsburgh Penguins with superstars Sidney Crosby and Evgeni Malkin swept their way to the Stanley Cup finals only to face the intimidating powerhouse that was the Detroit Red Wings. In a hell of a series, the Penguins fell 4 games to 2 to the Wings, but emboldened by their success went into the 2008 season charged and ready to go. With great series against rivals the Washington Capitals and Philadelphia Flyers, the plucky Penguins got back to the big dance to face their foes from the year before - it was a rematch of Detroit and Pittsburgh for Lord Stanley's Cup. So many great sports moments -- Max Talbot fighting Daniel Carcillo in the first round to rally the Penguins over the Flyers, the Ovechkin/Crosby rivalry in the second round, and ultimately the repeat showdown of the Steel Belt and the Rust Belt. A lot of sports writers have called it the greatest playoffs in recent memory and it all comes down to the story.
No offense to the Giants or Patriots, but what can you say about this Super Bowl's story? Last year, Green Bay was the team that defied the odds (even though Pittsburgh's own Steelers managed to choke their way into the big game some how). This year's Super Bowl was so astoundingly boring because no one wants to see two such titanic rivals when we've heard their stories time and time again. Yeah, the last 2 minutes were exciting, but I had the game on in the background -- in the background! That's not what the Super Bowl is for. Plus I agree with your assessment -- there's nothing like seeing ice hockey live. I know Football is king, but with more stories like the '08-'09 Penguins (and the '09-'10 Blackhawks) maybe more fans will see the NHL for what it is. Who know? Maybe it's the '11-'12 Blues that can capture that story...