YouTube is a treasure-trove for musicians. For example, search for "muppet show" and you will find quite a few nice videos featuring well-known artists visiting the Muppet Show. Through this, I also found a video the wonderfully skilled and funny Victor Borge that I had not heard of before.

And while being on the subject of skilled and funny, check out Igudesman and Joo. They bring classical music and comedy on to a new level.