Kids in the Hall and Monty Python's Flying Circus were the best. There have been a few years where Saturday Night Live was great and I enjoyed ABC's Fridays for the few seasons it was on the air. There was also a great sketch show called The Vacant Lot that Comedy Central aired years ago.
HBO currently has a show called Sketch Pad that highlights some of the best sketch comedy troupes from around the world. If you like this style of comedy, check it out.