Without a doubt my favourite sketch comedy show of all time is "Kids in the Hall", but outside of KITH the funniest sketch comedy show I ever watched was "Mr. Show".
"Mr. Show" was created by Bob Odenkirk and David Cross for HBO and the genius was in how the various sketches tied together. There was always a common thread, some element that segued one into the next, and it was unlike anything I had ever seen. "Mr. Show" wasn't just funny, it was clever, and one of a small handful of shows that could actually make me laugh out loud.
I recently wrote about David Cross' appearance in Alvin and the Chipmunks and stole the Bob and David HTML for HhDotCom. Here's some "Mr. Show" action for ya. This funny bit is called The Audition and is typical "Mr. Show" fare.