There have been some greats mentioned already, it's hard to pick a favorite or 'funniest' since they all have a time or place.
Some unmentioned
Massive Headwound Harry - I remember an episode where they had a dog on the set that was supposed to lick the head wound, but at some point started chewing the prosthesis off. Not scripted, but hilarious watching Carvey try to play it off and keep the skit going without losing the major prop of the skit.
Bill Braskey Skits - Pertinent to LR for (obvious) reasons.
The H is O - Guest appearance by Ben Stiller in the Ferrell-fueled short about a guy who seduces Genn Frey from the Eagles.
Many, many more but these come to mind first (after a few greats already mentioned).