Gonzo and Rizzo were first story tellers in The Muppet Christmas Carol. Gonzo was originally going to portray the ghost of christmas fututre, but then it was decided to have Gonzo narrarate it and have the three gosts be newer characters instead of being portrayed by classic characters. After it was decided to have Gonzo narrarate it, it was decided that Gonzo needed somebody to play off of, and so Rizzo was brought in as a sidekick.
I am a bit surprised that they didn't nararate Muppet Treasure Island, especially after reading an interview with Jerry Juhl where he said that the writers had trouble finding roles for Gonzo and Rizzo. I am also surprised that they didn't host Muppets Tonight (with the exception of The Best of Muppets Tonight).