Since this post, they have opened up additional installations in Las Vegas, Denver, Dallas, and soon in Houston. All are unique. Also, each has their own "mystery" that you can investigate. That said, if you want to truly investigate, I would choose a weekday that isn't near a major holiday. We went on Sunday, and it was packed with people, making investigating nearly impossible. Some friends went yesterday, and their Facebook photos made it look virtually deserted. Not sure about the other installations, but the Santa Fe location has a sound stage where they host concerts--that would be a really cool place to see a show.
Regardless, it's such a unique space and a great way to spend 2-3 hours on a chilly, rainy day.