From Jay Mohr's book Gasping for Airtime: Two years in the Trenches of Saturday Night Live. The scene takes place at the Monday afternoon pitch meeting in Lorne's office. The writers sit on the floor, the guest in a big comfy leather chair:
Mike Myers once told me a story about Christopher Walken pitching ideas. As the pitches went around the room, Walken sat stone-faced, with an almost angry expression. Idea after idea hit the floor like a bowling ball. Walken didn't budge. After everyone in the room had finished, Lorne asked Walken if he had any ideas of his own. Walken paused to gather his thoughts. "Bear suits are funny. Ape suits as well," he said.