While on "SNL", Parnell appeared in numerous sketches, and commercial parodies, and performed impressions of various celebrities. Among his notable sketches are "Lazy Sunday", a rap video he shot with Andy Samberg, and "More Cowbell". He has performed raps about hosts Jennifer Garner, Britney Spears, Kirsten Dunst, and Ashton Kutcher. On the DVD commentary for the West Coast version of the "30 Rock" episode "Live Show", Tina Fey and Beth McCarthy Miller noted that Parnell was nicknamed "The Ice Man" while working at "SNL", because of his apparent immunity to breaking character, citing the "More Cowbell" sketch in which he was the only actor not to break.