Coneheads, yeah, it's one of the FEW SNL movies that turned out right, especially since it came so long after the Conehead sketches stopped airing.
But then it was back before SNL made it's downward spiral to the dust bin.
It has an all star cast, and in even the small roles. It has a cast that was, more or less, the who is who of comedy in the early 90s, and is executed in way that actually tells a story... and that is what sets it apart from a lot of SNL movies (more modern movies in general), it actually tells a coherent story and takes the time to develop the characters.
Because of that, you have a sense of real family and their plights have a meaningful resonance that only comes with the well developed mind of a skilled writer and director.