Melissa McCarthy as an acupuncturist
Mary Tyler Moore as a TSA screener, interrogating Jon Lovitz
Mel Gibson, OB-GYN
Hugh Hefner was the guest host that night (surprise, surprise!). It was back in the winter of 1977–78, in January I think (Janet Quist was the current PMOM, IIRC).
I remember that. I also remember the time he came onstage in a tropical shirt carrying a bongo-congo drum and pulled a woman out of the audience. He then taught her how to play the drum while spouting mumbo-jumbo nonsense the whole time.
At first, she was just bewildered, but he managed to get her to play it along with him. He never once said anything intelligible in English or any other language. He got his meanings across entirely by inflections and gestures.
My brother and I almost fell out of our chairs laughing!
Adding to the more recent (2000’s) list:
Natalie Portman and Jamba Juice sketch
Winona Ryder with Mango (Chris Kattan) being arrested for shoplifting. (That whole episode is good; in another sketch Ryder plays Bjork on Jeopardy)
And earlier:
Cheerleaders
Will Ferrell, Ana Gasteyer and Sarah Michelle Gellar in “Family Dinner”
One episode Cheri Oteri accidentally lets out a swear during a sketch: at the end, Lorne Michaels has her put money in a swear jar
From the NRFPTP era:
The Widettes (just the actors doing regular stuff, with pillows stuffed into their pants) 
The Loud Family, a takeoff on the PBS series from a few years earlier; they all yelled at each other 
That refrigerator repair skit with Lisa Loopner and Todd, and Dan Aykroyd’s very hairy butt crack 
More recently, there was a news story about an infertility doctor who was inseminating patients with his own sperm, and was believed to have sired at least 75 children. He looked a little like John Goodman, who was a guest host, and they did a sitcom parody called “My 75 Kids”, with Goodman portraying a kindly father to a herd of children who all had wigs and glasses resembling that of the doctor. Only SNL could have pulled that off.
Also from their early days: They put out a call for a guest host who was not a public figure, and the winner was a woman in her 80s.
During the 1988 Presidential campaign, Paul Simon was the host, and at the beginning of the show, Paul Simon the musician and Paul Simon the presidential candidate walked out onstage, and each of them said, “I thought they wanted me!”
It was actually the musician.
I always loved the Jeopardy and political debates skits.
Chris Farley and his talk show with Paul McCartney.
Chris: Do you remember that time when you were with the Beatles?
Paul:…Yeah?
Chris: That was cool.
Schwetty Balls.
Kevin Neelon doing the weekend updat.
Kevin: And now for the health report.
Kevin: I’m feeling fine. Thanks for asking.
Hartman doing Clinton.
Too many to mention. I’d have to break it down into favorite moments from each season.
Hell yeah! They never did Sprockets nearly enough.
Back in 1988 Paul Simon was hosting and Edie Brickell & New Bohemians were the musical guest. At the end of the show when the whole cast gathers on stage it was so obvious that Paul Simon was totally enamoured of Edie B. From the looks of it I don’t think they’d met before that night. I wasn’t surprised when they married.
I want to see this, badly. When is SNL going to digitally capitalize on their goldmine repository?
Most memorable SNL moment :Mr Short Term Memory, with Tom Hanks
James Brown’s Celebrity Hot Tub
Deep Thoughts
The Pathological Liar
Steve Martin and Gilda Rainer Dance
Will Ferrell’s Patriotic Thong Song
Richard Pryor - Word Association
Shatner - “Get a Life”
A skit that I cannot find with Chris Farley, Ellen Cleghorne (IIRC) and another cast member calling out names for summer camp. Said names ranged from stereotypical minority names to downright wrong.
There is a movie coming out starring Vince Vaughn as the father of 500+ kids…
Does anyone remember a black and white short from the 70s about cast member’s first loves’ which featured the Shirelles song “Soldier Boy” (“you’re my first love…”)? It was more sweet then comic, but I cannot remember what the short was called.
To be fair, she practically was a real rocker for that sketch. Cite. (Check out the drummer, eh)
ETA: This is from the film Gilda Live, but it’s the same sketch that they did on SNL.
I always thought Al Franken as the one-man mobile uplink during the first Gulf War was really funny. They went to him for a report on Weekend Update and he was in Iraq with a satellite dish on his head.