Man... where do I start? I've always found Sesame Street such a funny show...
I can't think of any sketches (too many to mention), but the most humourous characters I think are Cookie, Ernie and Bert. Cookie because he always overracts, Ernie because he just does the most weirdest, random things (putting a sock on his nose, fer r'instance...), especially in that sketch in the Old School box-set when he loses it whenever somebody mentions the number 2 ("there's two of us Bert, me, you, did you ever think of that?")... emotionally unstable, no?
And Bert because he gets stirred up so easily, and he really is hilerious in a subtle way with his mannerisms and attitude and everything.
I was watching Play With Me Sesame the other day and Elmo was in one of the sketches (Surprise! Surprise!) and even though I'm not a huge Elmo fan there was this bit that I found really funny when he snapped at one of the characters (can't remember, too "blah" at the moment -_- ). It's was kinda rare to see Elmo like it, and using this frustrated tone, I found it funny-as though.