Dennis Miller, Jon Lovitz, Mike Myers, Victoria Jackson, Phil Hartman, Adam Sandler, Rob Schneider to name a few from the 1990s era. Many of those were conservatives by the way, as you pointed out.
Over the past 20 years, SNL became less edgy and increasingly politically correct, which is toxic to good comedy. Then when Trump became president, it became just mean and unfunny all around. The nadir of the show during the Trump era was the cringe-worthy "Mueller Christmas" skit in which the women of SNL sang about their hopes of criminal indictments for Trump in time for Christmas to the tune of "All I Want For Christmas." It was totally awful. Of course, as we all know now, Mueller came up with nada and the skanky girls of SNL got coal in their stockings.
I really think the SNL writers send their scripts to the DNC for approval.