There is a place called The Fringe Bar on Cuba Street in Wellington. It's a great place for comedy. I've been checking out the Wellington Improvisation Troupe's Wednesday night improv shows. Funny stuff! If you're a local, there are workshops you can take to learn how to develop your spontaneous enthusiasm. :)
The second annual NZ Improv Festival will be happening October
7th to 10th in Wellington. There will be improvisers from all over NZ, as well as a group from Melbourne. Should be hilarious, if the regular WIT shows are anything to go by! Info is available on the WIT website. I'm guessing it will sell out.