My favorite was a SNL skit he did playing a devil worshiper (I think), that rec'd a phone call from someone pretending to be the devil. The voice told McDonald to kill his entire family and dispose of them somehow that I don't remember. He followed the instructions explicitly. Then he received another phone call from his "buddy" who asked him how he liked that practical joke phone call.

McDonald said something like "......that was a practical joke call?"

Doesn't sound funny, but it's one of those "you had to be there to appreciate it..." things.