Okay, most important thing you must realize when doing sketch comedy is what’s known as The Two Minute Rule. What this means is, do NOT allow a skit to run more than two minutes long. Anything longer than that loses people’s interest, drags the joke on for way too long, and comes off reminding people of why they stoped watching Saturday Night Live. This is Most Important Rule Number One, so don’t forget it!
Naming the show is completely up to you and whoever you’re working with. I know we’ve got some pretty witty people on the boards, but don’t trust them to name something we really know nothing about.
As for transitions, The Ben Stiller Show did a great little bit where at the end of each sketch, someone would do an action, and at the beginning of the next, a character would do a response to it in some way. For example, at the end of one sketch, the phone would ring and one character would reach for it, and the next scene would start off with a close up of the phone, someone picking it up, and BAM! You’re in the next sketch. Or someone throws something off screen, and you see it land in front of a passer by who happens to be the lead in the next sketch. If you can pull shit like that off well, it looks really good.
I was in a sketch comedy show here in Austin called The Campus Loop that ran for a solid three years (and was the only nationally distributed student produced program in the US I might add…until our founders went bankrupt, but anyway). We used a linking storyline, which worked really well for us as a way to connect the skits. Create some characters, and create a small little five to ten minute sit-com of sorts for them to be involved in. Then, break that into four or five segments and when each one ends, go to a few skits, then go to commercial. Use this as a means of coming back from commercial break, kicking off the episode, and ending it. It works really well, trust me.
Again, re-ocurring characters are good, assuming they’re good characters. And don’t put them in every show (unless you’re using them as a link), and when they get tired, don’t be afraid to kill them off. That could even help with the dark feel of the show.
As for how to keep the show dark and cryptic without it becoming hokey…well, that’s going to depend on the quality of your work. Remember that in sketch comedy, death is funny! If someone dies a horrible death in the midst of four people, it’s funny if only one reacts negatively to it than all of them. Dumb down the horror of what’s happened, even if it’s something insanely horrible, like running over a fluffy bunny wabbit with a lawnmower. That can be either insanely disgusting and disturbing, or really fucking funny. Just depends on how you treat it.
Good luck.