First of all; it's just amazing seeing the legendary Pythons performing the most popular sketches live, in front of a huge audience, similar to a music concert. The crowd is so into it, they seem to know the lines by heart. Still, they just love it and it makes for a very special event with a fantastic atmosphere.
My favourite sketch (and it IS hard to pick just one!) is the "Church Police" sketch. Why? Because the otherwise super-professional Pythons can't keep from laughing themselves as things go slightly wrong. Just look when Terry Jones' wig comes right off as he jumps... They crack up. I have never seen that happen before, and every time I see it I laugh so hard it hurts.
If you have never seen the TV-series before, this may not seem as all that much of a great movie. But being an almost fanatical fan of the Pythons, seeing these sketches live is a wholly enjoyable experience.
The only sad thing is that most of us never attended the bloody thing. Nonetheless, this is a must see.