Mine are the second appearance of the Blues Brothers (playing Soul Man, I'm pretty sure, but I couldn't find a decent video), John Belushi as Joe Cocker, and probably a tie between Chevy Chase as Gerald Ford (heel, Liberty!) and Dan Aykroyd's talk-down of an acid freak as Jimmy Carter.
There is a severe lack of classic SNL videos on the internet.
My favourite by far is More Cowbell Christopher Walken is absolutely hilarious. Explore the space! I know its one of the more well known skits, but it makes me laugh every time, without fail.
It's a classic for a reason. It's absolutely hilarious. So much so that Fallon can't help but crack up.
Pretty much anything Chris Farley ever did. I'm posting the Colombian Coffee Crystals sketch here, because I was thinking about it earlier today due to this really weird new McDonald's coffee commercial that's out right now. Terrible quality video, but NBC don't like YouTube, so you get what you get. There is a way better version on Hulu, but I hate linking to ads. Search for it if you're so inclined.
here's a better version. http://www.bestviral.com/video/11733/chris_farley_hidden_cam...
Alec Baldwin in any number of skits. Say what you will about Baldwin's political persuasions or behavior on planes, the guy is a solid actor. If you're a fan of his Glen Gary, Glen Ross cameo, then this skit is hilarious. Edit: Belushi as Cocker is spot on.
All things sprockets. Always and forever. http://www.dailymotion.com/video/x9p5ey_sprockets-germany-s-...