I'll heartily second pcnd's comments as I'm a big fan of modulating a 3rd away (major or minor, up or down) from the starting key. One of the reasons I like it is because it's not a hugely unexpected surprise, but it's certainly enough to maintain attention and have casual listeners think "that was interesting" (IMO of course, but I have had people say exactly that).
One of my favourite chord progressions moves in alternating major and minor thirds (descending). You can move through all 12 major and all 12 minor triads and it can create quite a sense of tension as you're never sure just where it's going to end. So for example, starting at C major, down to a minor, then down to F maj, --> d min --> Bb maj --> g min --> Eb maj --> etc etc etc. You can essentially stop anywhere and it doesn't really sound "wrong"
As for the circle of 5ths, as a general rule, the most common thing to do is to introduce the leading note of the new key (ie, dominant of the dominant as it's called), so if you were moving from c minor to g minor, introduce the f# in a D major chord (the dominant of G).
... All of the above also presupposes that I'm staying relatively tonal in my improvisations. 9 times out of 10, I'm usually in some strange mode (easier to cover up "wrong" notes
)