Funny thing is, with Ferrell, I don't think he's terribly funny either (ex: he rarely made me laugh in Anchorman. Steve Carell totally carried that movie IMO), but I can get why people like him. I don't get the Fey-Fallon appeal though.
As for WU, I enjoyed it from Miller through Nealon through Norm. After the '95 exodus WU was the only part I'd watch. Once Norm got shit-canned though I totally stopped watching for the next couple years.