During his time on Saturday Night Live, Adam Sandler was given plenty of room to perform musical numbers, usually during Weekend Update. Armed with an acoustic guitar, Sandler croons "The Thanksgiving Song", which was later released on his debut CD, "They're All Going To Laugh At You" (1993). Kevin Nealon provides the intro.
Edit, 12/15/16: Had to replace the video as an earlier version was privatized via YouTube. This version, as you can see, appears to have been uploaded via camera phone.