I agree, I loved that movie, and I also have sketches forever stuck in my head.
Interestingly, whenever I'm in too much of a rush while visiting my dad (because of work, or having to take the kids to a birthday party, that sort of thing) the "happiest moment scene" of the grandma character pops into my brain and I automatically extend my stay a bit more at the cost of arriving late at some less important place. That was just pure genius!
Agreed, it was one of a few VHS tapes I had in early college and watched it daily for a long while. Its different in tone because it was largely written by Kevin dealing with depression, with the others having little input or none at all (Foley just acted, iirc). That and the usual studio meddling, similar to the Mr Show movie.
There's a good interview in the avclub from long ago with Kevin MacDonald about it.
But I differ: I love that movie. It's hilarious. Sketches and phrases from it are forever stuck in my head.