Like and agree with the SNL comments, Walken was great in the sketch, Ferrell overplaying the annoyance, and the actual band along for publicity ride.
For those who might not have been around, 30 years before the SNL skit, Procul Harem had a huge UK/US hit for its day—
with cowbell expertly inserted into the percussion persistently there in the final mix. Good actually:
“Whiskey Train”
https://www.youtube.com/watch?v=NZoN0-OyqQQ
Another great "cowbell song" from that era with a really cool video: