a season ago or so, kelly clarkson (musical guest that night) showed up in a skit. now, there have been plenty of times when musicians are in skits, but may not be the musical guest. like madonna's done it a few times- wayne's world, an episode of coffee talk (which also had barbara steisand in it). i think my favourite one (besides mick jagger playing keith richards on weekend update), is where paul simon (as host/musical guest) remembers everyone he meets on a street from every show he's played, but can't remember who art garfunkel is when he shows up.
that being said, i don't remember when the musical guest was in so many skits and was a relatively big part of certain sketches.