I never, in my wildest dreams, thought I would have to explain the @nbcsnl "Cowbell" sketch to another human being, but okay, here we go....

First: Yes, there's a joke, and no, it's not watching other people pretend they get it. They actually get it. You're the one who's lost.
The joke of the SNL "Cowbell" sketch is that there is a song, which everyone knows, that has an unusual element right in plain sight (so to speak) that nobody really thought about before. This is what's called "observational comedy."
The first layer of the gag in the "Cowbell" sketch is: there's a massively popular, iconic song that's considered totally dark and meaningful, but one of the instruments Blue Öyster Cult used to make it was a cowbell. An inherently silly instrument. Nobody looks cool playing it.
The sketch takes this observation and works backwards, suggesting at some point there was no cowbell in the song, and then someone had the idea to put it in there, and they had to convince the band it was a good idea. It's an absurd conversation to have! That's absurdist humor.
The next layer of the gag is that the cowbell wasn't the band's idea. It was a studio note from a producer who's ultra successful but doesn't seem to understand music. The well-intentioned band, which just wants to produce a good song, tries to say no but they can't argue.
Bruce, played by Christopher Walken, only wants MORE of the thing that's obviously "wrong" with the song. And we know he ultimately wins because in reality, there IS a cowbell in this hit song. Observational humor and total absurdism are intertwining. It's a great joke.
The band knows that the cowbell is really loud and distracting, so they try to subtly hint that something is awry, but the producer is on a totally different wavelength. That conflict, where an unstoppable force (logic) meets an immovable object (absurdity) generates humor.
The scene keeps building in tension as logic repeatedly comes into conflict with the illogical, but finds itself utterly incapable of being heard. We know an outburst is coming, but we don't know how far the band can be pushed.
Will Ferrell, the cowbell player, earns the freedom to take over the stage and become totally obnoxious, embarrassing and annoying the band. The creation of a legendary song now looks like nonsense. The irony is undeniably amusing.
And yet, as ridiculous as this is, it also makes a kind of (laughable) sense. Again, the sketch plays off the very real observation that there is, indeed, a cowbell in Don't Fear the Reaper. It had to get in there SOMEHOW. There IS a story to be told there. And maybe this is it.
The comic tension finally breaks when the cowbell player, feeling unappreciated, defiantly starts playing out of synch with the band. He's the bane of their existence and they can do nothing about it. Fate, it seems, is testing Blue Öyster Cult.
Their lives have become a tragic example of dark, almost fatalistic humor. This is Blue Öyster Cult's version of hell.

And then the gag evolves AGAIN.

The cowbell player confesses he's only trying to make the most of this rare, rare opportunity to play cowbell in a rock song.
The perspective shifts from total sympathy with the band in an annoying situation to genuine sympathy for their seeming oppressor, whose life is another kind of cosmic joke. He's a cowbell expert in a world where cowbells are considered "inherently silly." That's tragic comedy.
The "Cowbell" sketch works because it's an organic ecosystem of humor, naturally self-sustaining on multiple levels, all informing and bolstering each other. It's not a delivery system for a contrived single gag (which makes up a lot of sketch comedy... even the good stuff).
The real joke here is that humor warrants sophisticated analysis and yet many people are eager to write it off as ineffable nonsense. Or worse, as "gaslighting," which makes no sense in this context. You're not making the audience doubt their sanity. You're making them laugh.
Laughter doesn't stem from nonsense. Laughter stems from discovery, the sudden realization of a truth or a lie: the things we take for granted getting explored in unexpected ways, the assumptions we make getting questioned and recontextualized.

Humor is sanity, not insanity.
There's a reason critics rarely delve deeply into joke construction. It transforms a gag that seems completely natural into an unwieldy form of verbal algebra, as we break down all the little contrasts, tensions and twists that underly the various genres of comedy.
In other words, the old saw is true: If you have to explain it, it isn't funny. Again, laughter stems from the audience's sense of personal discovery, not from watching a joke get reduced to its base conceptual and thematic components.
Here's a joke:

Why did the chicken cross the street?

To get to the other side!

Now, let's analyze that. I promise, it won't be funny.
In the aforementioned joke I made you think logically about a hypothetical situation, concocting a reason for a chicken to do something mundane. Then I surprised you with the revelation that there's no deeper meaning behind that mundanity. Sometimes life itself has no meaning.
That's an accurate representation of why the joke is a timeless classic. It's not particularly hilarious but it teaches people how humor works. Expectations are established, often by the audience themselves, only to be dashed by an unexpected application of off-kilter logic.
I think the lesson we learned here today is that if you don't get a joke, it's okay to say you don't get it. The people who are laughing can probably explain it to you. And then you'll be able to understand similar jokes in the future and get them all on your own.
Whatever you do, even if you pretend you get the joke, DON'T make the assumption that everyone who actually DOES get the joke is an idiot. And definitely don't declare it in public. There's an exceptional possibility that you will discover that the real joke is on you.
ADDENDUM: Quite a few people have replied that, in my example of "Why did the chicken cross the street?", there's an alternate interpretation of the punchline "to get to the other side," in which "the other side" refers to the afterlife.

Good observation! Let's talk about that!
(These next few tweets were mostly copy/pasted from my initial response to this observation, for the record.)

Anyway, it's a fun alternate interpretation! The joke is conventionally described as an exercise in unexpected literalism but there is some wordplay there as well.
I think the reason why many people don't pick up on that interpretation is that it's a few steps down the line, narratively. The audience is asked why the chicken crossed the road, but no mention is made of traffic conditions, for example.
Indeed, when the joke was written back in 1847, traffic wasn't nearly as treacherous to chickens as it is today. The chicken's death wasn't necessarily as certain over 150 years ago as it would be on a busy highway in 2019!
To get to that double-meaning interpretation, the audience needs to think beyond the premise, into the traffic conditions, make the logical extension that this must be a suicide attempt, and furthermore a successful one. And only then do they get to the double-meaning euphemism!
Which is why, I would suggest, many people don't leap immediately on "the other side" as a metaphor for death.

But you're right! It's in there! Thanks to everyone for pointing it out! It was very late when I wrote that thread and I guess I could've been more thorough.
By the way I co-host three podcasts! Check out CRITICALLY ACCLAIMED for new movie reviews, THE TWO-SHOT for strange double features, and CANCELED TOO SOON for reviews of TV shows that only lasted one season or less! @CriticAcclaim @CanceledCast patreon.com/canceledtoosoon

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More from @WilliamBibbiani

Jul 18, 2020
That moment when you realize that the T. Rex was never trying to eat the kids in #JurassicPark, because it had just eaten an entire goat and wasn't hungry...

...is the same moment you realize the T. Rex was just being playful.
The T. Rex in JURASSIC PARK wasn't trying to eat that car. She was just toying with it, and using the tires like a chew toy.
Of course, the T. Rex is still a large and dangerous animal, and so Grant needed to get it away from two helpless kids.

And how did he do that?

By using a laser pointer.
Read 6 tweets

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