Wow I must have never seen a single episode of SNL from this era even by accident because I didn't know any of those people (besides Dennis Miller or Jon Lovitz) were ever cast members!

Part 1 - Robert Downey Jr as Sean Penn This is the monologue and really the only part I recommend watching.

Here's some extra links not worth watching:
Part 2 - Madonna as Princess Diana
Madonna as Marilyn Monroe