Though this isn't the very best movie made from Saturday Night Live skits and characters (that would be a tossup between 'The Blues Brothers' and the two 'Wayne's World' entries), this is definitely top-tier and in the best five ever made. Laraine Newman and Jane Curtin were very underrated as comediennes, and the unsung heroes that held the cast together during its excellent run of the early days.
What's hardly ever talked about, when it comes to movies based on SNL skits, is how important the supporting players are. 'Coneheads' undoubtedly has the strongest supporting cast of any of them, and while director Barron has hardly become a household name in terms of movies (only this and 'Teenage Mutant Ninja Turtles' really hit the radar), his prowess on some of the greatest music videos of all time (ie., Dire Straits' 'Money for Nothing', Michael Jackson's 'Billie Jean' and A-Ha's 'Take On Me') was picture-perfect for the comedic set-pieces here. Definitely worth at least a watch, here in the 21st-century.