Oh SNL....So many wonderful sketches, I don't know where to begin!
I love some of the ones already mentioned, namely the Cowbell Sketch. My dad is obessed with that sketch and it became a family joke. "I got a fever...and the only thing that'll cure it, is more cowbell!"
Chopping Broccoli is a good one too.
I also loved Chris Farley's Motivational Speaker "Living in a VAN down by the RIVER!"
Spartan Cheerleaders, always funny (my friends and I love going through and doing "Roll Call")
The Culp's always cracked me up as well.
Steve Martin was one of my all time favorite guest hosts. I love his "King Tut" number and him and Dan Akroyd doing "Wild and Crazy Guys" I also love when he gets "Happy Feet" There's a great sketch with him and Gilda Radner dancing and it's clearly a slow song but every so often they get happy feet.
The Night at the Roxbury guys, suddenly I can't remember their names, but Will Ferrell and Chris Kattan played them. It was funny, one time Tom Hanks joined up with them when he hosted.
I always enjoy a good Mango sketch.
Chris Farley and Patrick Swayze trying out for Chippendales, that was a pretty good one too.
The Chris Farley Show. I love when Paul McCartney was on and Chris Farley says "You remember when you were in the Beatles? That was pretty cool."
Anyway, I could go on and on about SNL, but those are some of my random favorites off the top of my head.