It's really something that you had to see in order to fully grasp. Then again, there were probably a lot of people who watched the sketch live and were still not amused.
It basically revolved around a studio session with Blue Oyster Cult, as they recorded their classic hit: "Don't Fear The Reaper."
Walken played their manager, who was insistent that the band include Will Ferall's eccentric character-who happened to play the cowbell-during those extensive bass guitar/drum solos you hear during the song's chorus.
The sketch was so hilarious that Chris Parnell, Horatio Sanz and Will Ferall-and perhaps even Christopher Walken, though I don't remember precisely-nearly broke character during the skit.
The Blue Oyser Cult skit was great. Another that I recall that had me rolling on the floor for some reason (and makes me smile and giggle right now as I think of it) had Walken as a condemned killer sitting in the electic chair, waiting for the juice to be applied. The guy at the switch (can't recall his name now) kept making cracks, calling Walken "hotplate" and at one time got on the governor's phone, making Walken think he was getting a reprieve.... I can't do it justice, but it "killed" me.
The Continental series on SNL garnered Walken a special Emmy Award (unprecedented, I believe). His film work has always risen above the material he's had to work with. From Stephen King's tragic "touch-psychic", through years of playing the bad guy you couldn't help sympathizing with (King of New York, the Prophecy series) and even supressing himself to put other actors over (Dwayne "the Rock" Johnson in "The Breakdown"), Walken has become a true entertainment icon. Enigmatic actor-comedian Jay Mohr's best bit is immitating him (but don't miss Mohr's short series about being a Hollywood producer if it's replayed. Totally brilliant.)