My current favorite is Darrell Hammond. Nobody on that show holds a candle to him. Overall, my favorites have been:

Phil Hartman
Mike Myers
Dana Carvey
Norm McDonald
Chris Rock
Steve Martin
Will Ferrell
Eddie Murphy
John Belushi
Tina Fey (because she's so hot)

Favorite Sketches:
Celebrity Jeopardy
Weekend Update
Brian Fellowes
Samurai _____
The Clinton/Bush debates
Hans and Franz
Wayne's World