The original cast and the original replacements were by far the best, but there have been a lot of good skits though the years since then. The Jeopardy skits being ranked right up there.
The best I remember:
A commercial where they were advertising a beer made with water from one of the great lakes; spoofing the recent news (at the time) about how contaminated the lake was. The drink poured out like a clear sludge and had a pull tab mixed in it.
Christopher Walkin/ Will Ferrell: "Got to have more cowbell"
Peyton Manning: United Way
Eddie Murphy: Black History Month skit when told the audience to quit laughing and talked about George Washington Carver dying penny-less and insane "still trying to play a record with a peanut".