Saturday Night Live is a late-night comedy and sketch show created by Lorne Michaels, and is referred to by most people today as SNL. And in case of the unlikely possibility that you've never seen and episode, it usually goes something like this.
The show's delivers comedy sketches that are often parodies of contemporary culture and politics, and are performed by a large and varying cast of repertory and newer cast members. A celebrity guest usually delivers an opening monologue and also performs in sketches with the cast. There are also featured performances by a musical guest each week.
An episode normally begins with a "cold open" sketch that ends with someone breaking character and proclaiming, "Live from New York, it's Saturday Night!" And thus begins the show.