Sarah Palin appears on 'Saturday Night Live'
Sarah Palin appears on "Saturday Night Live" with former cast member Tina Fey
Sketch also featured "30 Rock" actor Alec Baldwin
Fey has played Palin several times on the show
NEW YORK (CNN) -- Republican vice presidential candidate Sarah Palin appeared on NBC's "Saturday Night Live," along with Palin lookalike Tina Fey.
The show's opening sketch featured a mock press conference with Fey reprising her role as the Alaska governor.
The piece then cut to a shot of Palin watching Fey's performance on a television monitor with Lorne Michaels, the show's executive producer.
"I just didn't think it was a realistic depiction of the way my press conferences would have gone," she said.
"Why couldn't we have done the '30 Rock' sketch that I wrote?" she asked, referring to the NBC comedy which stars Fey.
"Honestly, not enough people know that show," Michaels responds.
The opening sketch also featured a surprise visit by Alec Baldwin, Fey's "30 Rock" co-star, who mistook Palin for Fey, and tried to convince Michaels not to let Fey appear on the show with the governor. He snapped his fingers, trying to remember the nickname some had given Palin.
"Caribou Barbie," Palin reminded him.
Baldwin, still oblivious that he was talking to the governor, continued: "You want her, our Tina, to go out there and stand there with that horrible woman," he asked. "What do you have to say for yourself?"
Michaels points out he was standing next to the real Palin.
"Forgive me, I must say this," Baldwin backtracked. "You are way hotter in person. I mean seriously. I mean, I can't believe they let her play you."
Palin laughed and responded that Baldwin's brother, Stephen, was her favorite. Stephen Baldwin, also an actor, is a Christian conservative with his own ministry.
Palin then took the podium and told the reporters she was not going to take any of their questions.
She then uttered the signature line that opens the show every weekend: "Live from New York, it's Saturday Night."
Later in the show, Palin appeared on SNL's "Weekend Update" with cast members Amy Poehler and Seth Meyers.
"I've been thinking it over and I'm not going to do the piece we rehearsed," Palin told Meyers. "My gut is telling me it might be a bad idea for the campaign."
Poehler said she would do the part and launched into a rap about being Sarah Palin. Among her backup dancers was cast member Jason Sukeikis who impersonated Palin's husband, Todd.
Palin grooved along to the music, even raising her hands when Poehler sang "All the mavericks in the house, put your hands up! All the plumbers in the house, put your pants up!"
The plumber reference was meant to invoke the now-famous Joe "the Plumber" Wurzelbacher, who Republican presidential nominee Sen. John McCain has held up as a small business owner who will see his taxes rise if his Democratic rival, Sen. Barack Obama, wins the election.
In both skits, Palin delivered her lines with a straight face but mostly played the comic foil to the show's cast of mischief-makers.
On Thursday, multiple sources told CNN that Palin planned to appear on the hit show.
"Saturday Night Live" has featured three opening skits in which former cast member and Palin lookalike Tina Fey portrays the Alaska governor.
Fey first appeared as Palin for the show's season premiere last month in a sketch with SNL cast member Amy Poehler, who played Sen. Hillary Clinton.
Fey reprised her role as Palin two weeks later, again alongside Poehler, who played CBS's Katie Couric in a parody of Palin's interview with the CBS anchor earlier that week.
Earlier this week, Palin told reporters that she'd love to appear on the show with Fey, The Associated Press reported.
"I love her, she's a hoot and she's so talented," Palin said, according to the AP.
"It would be fun to meet her, imitate her and keep on giving her new material."
CNN's Peter Hamby and Ed Hornick contributed to this report.
Saturday Night Live • Tina Fey • Sarah Palin