One of my favorites is the one with Scott Thompson yelling at the cop "Got some bacon curing, pig???"
In my more immature days, I actually did that as a joke to a cop who was monitoring a protest I was at (the first Iraq War, ages ago) and thankfully he got it and thought it was funny.
While a great and deserving sketch, that one technically predates 'Police Department'. Mark McKinney says it was during the filming of that sketch that he and Bruce, in costume, started improvising the bland cop chatter that would become these characters.
He also says that they never named their cops because "they don't deserve names."