The Grieg Piano Concerto sketch had not been fully rehearsed due to Andre Previn's schedule. He'd come straight to the recording from the airport and Eric and Ernie (especially Eric) were nervous about whether or not Previn would be able to put in a good performance. Then Previn walked on stage and demonstrated spot-on deadpan timing (Eric pumping his fist and yelling "He's got it!" was actual visible relief) and the sketch went on to become one of the most memorable moments in British comedy.
The number of big name celebrities that went onto the show (including Shirley Bassey and Judi Dench), all knowing that they would end up as the Butt-Monkey. Much of the humour comes from most of them not having been known for doing comedy.