I always like the political skits the best. One of my favorites was from the Bush/Gore election. Will Ferrell played GWBush, and Darrell Hammond played Al Gore.
During a debate the moderator asked each candidate, "If you could sum up your campaign in one word, what would that word be?"
Bush: "Strategery."
Gore: "Lock-box."
ETA: (The script and an audio recording, here:
http://ynucc.yeungnam.ac.kr/~bwlee/esc/bgdebate_prd.htm)