Not that Im trying to garner favor with the rainbow brigade but any Weekend Update where Bill Hader plays Stefon has me giggling like a retard. The simple fact that he cant hold it together for the entire bit cracks me up more than the jokes do.
Not one of my "all time favorites" but to give credit to recent episodes just because, in the Matthew Fox episode, there was a skit where a son reveals that he's going to be a math major to his history buff parents. I laughed for weeks from that afterward. I can't find it online though.
Here's another semi-recurring skit that never got as popular as it should have. Bear City
Two sketches I've been scouring the internet for and if anyone can find them, I'll be your best friend
The Godfather Part 4: Alec Baldwin as Michael Corleone in the future, in space (had clips from Star Wars, which could be why it was cut from Hulu/Netflix) and had Spock as Consiglere.
Wing Tips: Short film with Jim Belushi where he's given a pair of shoes by a disgruntled supermarket employee with the mat that opens the supermarket doors glued onto the soles. So everything he walks by opens and he ends up falling down an elevator shaft. Think it was in the season 10 episode with Ed Asner, but for some reason is cut from Hulu/Netflix.