Many scholars have noted the critical skills needed for leaders in the face of volatility, uncertainty, complexity, and ambiguity (VUCA). These skills include self-awareness, listening, communication, adaptability, critical thinking, and collaboration. Students who are able to develop these skills would be better equipped to lead in settings where the answers--and even the questions--are unknown. This paper details an approach to developing leadership skills to prepare undergraduate leadership students for a VUCA world, through the use of a classroom workshop on improvisational comedy. I have refined this improv workshop over sixteen course iterations spanning the past nine semesters, and students commonly point to the workshop as one of the most challenging and rewarding class sessions of the course. In this paper I review the literature that has informed my approach, explain the learning objectives addressed by the improv workshop, describe the approach I use, share quantitative and qualitative data that illustrate the success of the approach, and share my lessons learned, all in service of supporting colleagues who wish to try this approach.