This infamous sketch named "Recording Session" but more broadly known as "More Cowbell" aired in Saturday Night Live on April 8, 2000. It is Will Ferrell at his best.
Some details on how the sketch came to be from Wikipedia:
Will Ferrell's idea for the sketch came from hearing "(Don't Fear) The Reaper" over the years: "Every time I heard [the song], I would hear the faint cowbell in the background and wonder, 'What is that guy's life like?'" He co-wrote the sketch with friend and playwright Donnell Campbell. Ferrell first submitted it for the episode with Norm MacDonald as host, which aired on October 23, 1999. SNL creator and executive producer Lorne Michaels was unsure about the premise, though the sketch played well among crew at the table read. According to Seth Meyers, who served as head writer several seasons later, the sketch was submitted over seven times before making the show. Ferrell re-wrote the sketch when Christopher Walken was scheduled to host, to fit the actor's rhythm. The sketch was put near the end of the episode, where more offbeat/odd sketches are often aired.
Here's the Sketch:
And here's the original Blue Oyster Cult version: