In Death Comes to Town, when Ricky learns that Marnie is his mother.
The sketch where Bruce adopts a stray businessman, played by Kevin, as a pet. When Bruce realises he can never give his businessman a promotion, he releases him back into the CBD with the wild businessmen. He chokes up and says, "Maybe I'll get a job at your company one day!" and Kevin gives Bruce his tie. Awww!
At the end of the "Videos" sketch with Lex and The King of Empty Promises, Dave and Kevin exchange a soda and a hug. Because in Real Life, they're friends!
Kurt Cobain was a Big Name Fan of the troupe, and had made plans to meet them, prior to his suicide. Courtney Love gave a childhood school picture of Cobain to the Kids; it can be seen sitting on Buddy Cole's bar in the last season. A very nice tribute to a man they never even met.