Almost anything Phil Hartman did was great. Two off the top of my head were the episode of COPS set in Arkansas that featured several trips to the Clinton's residence, in the Governor's mansion no less, and the skit where Phil, as a cranky Frank Sinatra, records a duet album with popular singers of the time. He kept calling Sinead O'Connor Sine-Aid and Cue Ball. I think that's where the "You had me, then you lost me." line came from.
I think that one you are referring to was Real Stories of the Arkansas Highway Patrol.The funniest part in that one was where they had to answer a domestic dispute call.It turned out that Hilary had beaten the crap out of Bill.One of the sherrifs told him,"we have to come here every week and frankly,we're getting sick and tired of it.Now when is all this gonna'stop?".Bill,nursing a black eye and bleeding,pauses and answers,"But she loves me".The sherrif replies,"Well,she sure got a funny way of showing it".
I liked the more bizzarre ones like this one that had no dialogue except for one line spoken by Phil Hartman("Sorry pal.Not tonight").Chris Farley as a drunk than imagines that he will spend the evening covered in spiders;the Harvey Keitel as a lunatic and his collection of descending ant heads(?)and Soylent Cowflop("Well,at least it's hot").