There was another great one in the Dizzy Gillespie episode:
Zoot, Floyd and Animal are having a jam session outside when a woman opens her window and yells at them:
HEY! Hey you! Don't you know there's a little old lady sleeping up here?
Zoot: Nope, but hum a few bars and we'll fake it!
Then Animal steals the show by singing at the top of his lungs:
THERE'S A LITTLE OLD LADY SLEEPING UP HEEEEERE!!!! LOL
But I also like the "Love Story" duet with Rowlf and the previously mentioned Gilda Radner bit where Zoot's mouth gets stuck to the saxophone.