With Saturday Night Live's 40th Anniversary coming up Alan Sepinwall at HitFix picks 21 sketches to illustrate the show's history. However, all of the video links in the article don't allow the sketches to be played outside of the United States. Some of the sketches, like White Like Me below, can be found on YouTube.

The write-up itself is worthy of a read.

"You can look at the sixth season of "SNL" — the first made without any of the original actors, and without Lorne Michaels himself — in one of two ways: as a complete calamity that led to the firing of producer Jean Doumanian and all but two cast members not long after actor Charles Rocket dropped an F-bomb at the end of an elaborate "Who Shot J.R.?" parody, or as the season that discovered the biggest star the series would ever produce: Eddie Murphy.

Either interpretation is valid, and in some ways they complement one another. Doumanian gets credit for hiring Murphy — then a skinny 19-year-old stand-up without much on-camera experience — but she also had to be talked into it (in "Live From New York," talent coordinator Neil Levy recalls that Doumanian wanted to hire Robert Townsend as "'the black guy' on the show") and somehow thought Rocket and others were more capable of carrying "SNL" into its post-Murray/Radner era. Murphy had to essentially overwhelm the audience into getting more burn, as he does in this early Weekend Update appearance as the first of his many recurring characters, Raheem Abdul Muhammed. Listen to how dead the studio audience is as Rocket and Joe Piscopo speak, and then to how they go absolutely nuts for Murphy as Raheem. That is the sound of people who have been waiting months for the new "SNL" to finally remind them of the old "SNL," and who recognize this kid as the first newbie worthy of the tradition."

Splitsider provide 40 lesser known SNL sketches that they love anyway.