Improvisation (also known as improvising) is the act of making something up as you go along -- an act with which we all have a little experience. Remember playing House or Doctor as a child, letting the game go wherever your mind would take you? That was improvisation. No rules, no boundaries, just the limitless potential of your imagination.
Similarly, musical improvisation is the act of "writing" (creating it as you play) a song while performing it, a technique found most often in jazz, fusion and bluegrass (but can be traced back to renowned classical improvisers like Handel and Bach). Of course, it's a little more complicated than an imaginative children's game. Though improvisation is a highly creative and flexible technique, it requires great skill on the part of the musician. A musician involved in an improvisation must have a detailed knowledge of chord structure and complicated scales and modes. The musician must also have an intuitive ability to structure a song on the fly; great improvisation thrives on its ability to sound not improvised but rather wholly composed. That illusion, the ability of a song to seem anything but spontaneously made up, is part of improvisation's allure.
There are two basic forms of improvisation: structured improvisation and free improvisation. Structured improvisation, though a contradiction in terms, is the most common of the two. In this form, musicians will use a pre-determined series of chord changes, usually held down by the rhythm section, as the song's base. The lead instrument in the improvisation (sometimes also pre-determined) then have the freedom to create new melodies and harmonies from these pre-determined chords. The flexibility of this improvisation form is dependent on the flexibility of the chord changes, and the musicians involved must be able to play exactly what they hear in their heads, as some complicated changes may not allow for large deviations.
If we were to improvise on a song such as "Billy Boy", for example, we would follow the chord progressions of the song, but make up a different melody for it. Some musicians choose to stay fairly close to the melody by using neighboring tones and half-step slides and so on; other musicians feel free to completely abandon the traditional melody and make up a new melody entirely.
In addition to songs, many musicians in the jazz and rhythm & blues tradition improvise endlessly on the 12-bar blues, which has a chord progression using only the I, IV and V chords (also known as the "primary chords" of a given key) of whatever key the musicians are playing in. For example, if a jazz group was playing in the key of Bb, the improvisations would be based on the I, IV and V chords in the key of Bb: namely Bb, Eb, and F.
Of course musicians also add extra notes to chords such as the 7th -- especially in the blues -- and sometimes also change the harmony somewhat from time to time. But the recurring theme always reverts to the I - IV - V formula.
Free improvisation, on the other hand, is far more like a game of House or Doctor -- it has no rules. Instead of focusing on harmony or melody, free improvisation focuses on the feeling and texture of the music and the way the instruments complement each other. This form tends to be far more experimental and rarely adheres to one style or genre or music -- it is, quite simply, what it is.
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