One of the most powerful self-improvement things I ever did for myself was taking improv classes (the other biggie was weight-training).
I see improv as somewhat like a meditation training — it trains one to be as in-the-moment as possible.
When I was in high-school taking karate, I loved the sparring because everything else in the world disappears while fighting another person. If you let your mind drift to something that happened that morning, you wind up getting hit. Improv is a similar experience, but without the “getting hit in the face” part.