I've been enjoying all the preview clips I've seen so far. After watching "Me Am What Me Am", I wouldn't be surprised if that's part of the "Veggie Monster" street story (the site has another clips from that episode as well). I must say, so far it's the best David Rudman as Cookie Monster song so far.
Considering seasons 42 and 43 were in production at the same time, I wonder if they continued making more season 43 segments after season 42 aired, or if they are currently working on seasons 44 and 45. I read on toughpigs a few months ago that Tyler Bunch mentioned Frank Oz being on the set one day, I assume the day I heard about that post (it wouldn't surprise me if that was the day the Birdwalk Empire sketch was taped).
Back when Mad Men was done in season 40, it seemed like a big deal because Frank Oz hadn't performed any one-shot characters in over a decade (and since it was for an anniversary season it felt like an anniversary nod to fans). Then last year Frank did the Heaviest Catch segment and I didn't think that sketch was as good. But now that Frank did this Birdwalk Empire sketch it seems like it might become a tradition for Frank to perform one-shot characters each season. Also, with Mad Men it had been announced in advance that Frank would perform in it, while in these other parodies we didn't know until after we saw the segments (part of me wonders if his performance in the Mad Men sketch should have been kept a surprise).
It is a little interesting. It's been confirmed that Frank only performs on the show one day a year now, and it seems every season he's performed in (I think he skipped season 41) included a pairing between Grover and one of Jerry Nelson's characters, yet these one-shot segments with Frank don't involve Jerry Nelson's voice in any way. I don't think I heard Matt Vogel's voice in any of the segments, either.