This is really difficult, but a top contender is certainly "Chopping Broccoli" (mpg).

The Farley Chippendale's skit with Patrick Swayze is also among the best. I don't think Weekend Updates really count, but if they do, "Jane, you ignorant slut" has to be there. Then there is the "Nice Penis" skit. I've always been partial to Willie the Masochist, myself., but tat's more a character than a skit. And really, could any discussion of this take place without Bill Murray's lounge Singer doing 'Star Wars"?