The best SNL sketches are the ones where the comedians have truly lost themselves in the role, breaking character to start cracking up. Back in 1993, Christina Applegate and David Spade made the SNL crack up famous during Chris Farley's very first "Matt Foley: Motivational Speaker" sketch. Horatio Sanz and Jimmy Fallon would do it all the time, almost to the point of ad nauseum. Of the current cast, Bill Hader has probably lost it the most, notably as "Stefon" on Mother's Day and in a dress rehearsal for "The Califorians."
In a holiday sketch for this past week's show with Jamie Foxx, both Hader and Fred Armisen completely lost it as two Russian doormen. They nail the doormen impressions, making it one of those sketches that's probably a little more funny if you live in New York City and interact with building doormen on a daily basis. The sketch didn't make the cut for the show, but the resulting video is GREAT.