Dying is easy, comedy is hard, and improv is just about impossible, especially with a loutish audience. Which may be why I admire Blue Velveeta so much. On Saint Patrick's Day 1993 I saw them perform before a crowd so sloppy drunk that dick jokes went over their heads. Yet Brian Blondell, Jay Leggett, and Brian McCann never panicked, never pandered. They remained cool, professional, and funny throughout their fully improvised show--creating multilayered comic characters, pulling witty bits from thin air, ad-libbing poignant, barbed blues songs. Even when Leggett, at the end of his rope, confronted a woman so trashed she couldn't speak clearly, his cruel but hilarious put-downs seemed a part of the act. A year and a half ago, these three went their separate ways. Leggett joined the cast of In Living Color; McCann has a regular comedy show on WLUP. Reunited for a week's run at the Improv, they're sure to create the kind of intelligent, fast-paced show even a sober audience can appreciate. Improv, 504 N. Wells, 782-6387. November 9-13: Wednesday, Thursday, Sunday, 8 PM; Friday-Saturday, 7 PM, 9:30 PM, 12 AM. $15.