Down deep in the AllThingsD article about Yahoo! acquiring Katie Couric last weekend was the news that they had also obtained web distribution rights for old Saturday Night Live video. Perhaps typical of Yahoo, I didn't know even though I'm a longtime fan of SNL and I use Yahoo! as the homepage on one of my browsers.
Looking at the SNL library on Yahoo, it looks like they have a huge selection of clips on a page which continuously scrolls down and also scrolls to the side — though if you don't have the right-sized screen, you might want to CTRL(minus) yours down for easy access to the scrolling arrows — the big thing I see missing is the same thing they removed from Hulu, when the library was there: it would be nice to search just SNL. (If you use the searchbox, the suggestions might offer SNL behind your choice, but it's not a good solution because it really doesn't work)
Correction: Originally, I thought the player lacked an embed, but I was wrong. As I was looking for the fullscreen option, I found the embed code, it just hidden and not under the "share". I also had a bit of trouble copying the code, but when I used my keyboard, it worked.
As a reward for bearing with me through my correction and edit, here's a short SFW skit starring Gilda Radner and Candice Bergen, plus a link to the NSFW (for language) that I had linked. Using it will open the interface with the "controversial" videos at the top.
It's also worth noting for its Yahooness, if you capitalize SNL in the URL, the system won't redirect it to lowercase or resolve it anyway. Instead, you get a 404.