It very hard to become a cast member of SNL (obviously). You cannot just go audition. You have to be suggested by someone who already has an "in" to get an audition. Usually people who get to this point are already in sketch troupes, or are comics, or have gained some sort of notoriety in some other form of comedy.
Sam Rockwell was never an SNL cast member.
by being on snl
You could shop more or be a member.
Brad Hall
Bill Murray
Bill Murray
Janet Reno
Former SNL cast member Chris Parnell is in the movie Answer This.
Gilda Radner
you have to verify your dragonfable,but you must be a member
Mad TV
Phil Hartman