Saturday Night Live has featured Jesus in numerous sketches (see here and here for examples). But no one on the show has ever dared to don a Muhammad costume.
Bobby Moynihan in "Picture Perfect"
That's not likely to change, as any cast member involved in a sketch about Muhammad would be forced into hiding. If you'd like some references, just ask Salman Rushdie,
Theo Van Gogh, Lars Vilks, Molly Norris, Stéphane Charbonnier, Jean Cabut, Philippe Honoré, Bernard Verlhac, and Georges Wolinskiwhat life is like after criticizing Muhammad.
But SNL did the next best thing, by drawing attention to the fact that people are so terrified of drawing Muhammad, they wouldn't do it for a million dollars.
Here's "Picture Perfect":