My choice is a rather underrated one with die-hard fans, "Hot Pursuits" from the first season. This is the sketch where Ken Marino's criminal character rediculously seduces all authority trying to get him into trouble with the law: the female police officer, the judge, and the warden.
The best is when the judge (Lennon) questions Marino on the stand and asks, "how do you plead?" Marino, with his sleazy, Miami's most wanted look says, "...on my hands and knees...care to join me?" Then Lennon takes off his robe only for us to see that he's wearing lingerie underneath and turns off the light on the podium as it it was a scene taken from a soft-porn B-movie on Skinemax.
The narration is brilliant, and the cheesy soft-porn music (a song actually by the Boomtown Rats :) ) in the background adds even more depth to an already great sketch.
"....the sun goes down, but it gets hotter and hotter. HOT PURSUITS"