My knowledge of newer SNL episodes is pretty limited, but I really like Kristen Wiig. Her compulsive liar character, Penelope is excellent.
She’s also hilarious on the Lawrence Welk Show clip. (Note: this one starts out a little slow but keep watching, it’s good.)
Some others that I remember being pretty funny are:
The art dealers, Nuni and Nuni.
Peyton Manning for the United Way.
What Sarah Said 