On one episode, everyone is talking about how hilarious the "Banana Sketch" is — except for Kermit, who hasn't seen it, and no one will/can explain it to him. He eventually realizes they're messing with him.
There's also the "famous" Lonely Asparagus sketch that gets Carol Burnett to stay. Carol gets into the costume and can only get out the first line before the end of the show.
The Sifl and Olly Show had an episode where Olly asked Chester if he liked bubbles, in which Chester responded that Olly already knew, and there was an incident with him and a kid on his school bus who blew bubbles. Nothing else about that time is explained beyond that episode, but Olly (who honestly didn't know,) had bubbles blown into Chester's room to see what would happen.