I generally don't have single "favorites" in anything, it's impossible to choose most of the time, but I tended to favor sketches with Eddie Murphy, Dana Carvey, Phil Hartman, Bill Hader (especially when he's struggling to not break), the recurring Sprockets sketch (particularly "Dieter's Dream", which for some reason is no longer on YouTube), and sometimes the recurring bit of Billy Crystal as Fernando Lamas, and the Deep Thoughts by Jacky Handy bits
Darrell Hammond's impression of BIll Clinton was spot-on too
But here are a few random clips I love, the first especially because it so accurately depicts how effed up the US was / is, for literally no reason at all except to be different for the sake of being different, without the difference yielding actual benefits
[media=https://www.youtube.com/watch?v=JYqfVE-fykk]
[media=https://www.youtube.com/watch?v=z3eN9u5N2Q4]
[media=https://www.youtube.com/watch?v=wRO21LyXVSM]
[media=https://www.youtube.com/watch?v=m6MPiudd_Hw]
[media=https://www.youtube.com/watch?v=tyhTkrHrRv8]
[media=https://www.youtube.com/watch?v=MI3eiqrWEzU]
[media=https://www.youtube.com/watch?v=ZjpUfdjYR6s]
[media=https://www.youtube.com/watch?v=GmqeZl8OI2M]
[media=https://www.youtube.com/watch?v=FhxlOtqrzUA]