Holy SHIT! Check this out! I was just reading a Guitar For the Practicing Musician magazine from 1992, when I came across this tidbit in an interview with Dweezil Zappa:
[EDIT:] Okay.. Freaky Karma Moment: Right after I posted the above picture, I left work, got in my car, and Blue Oyster Cult's "Don't Fear the Reaper" was on my car radio! Am I being haunted by the ghost of Gene Frenkle?
Looks like SNL is now making some of their classic clips available for download through iTunes. One of the options is a "best of" Christopher Walken download with the cowbell skit included.
The NPR Show, "All Things Considered" did about 4-5 minutes talking about the SNL bit and all things cowbell; Feb 2005. There's even a web site devoted to the cowbell. If I can find that NPR link, I'll post it. I captured the audio of the piece using Total Recorder.