Norm is easily the best of the Weekend Update anchors. I doubt it would ever happen, but a collection of every one of his WU segments would be the greatest thing ever (then again, prior to 30 Rock I doubted the chances we'd ever get a Best Of Tracy Morgan). One of my favorite aspects of Conan's Tonight Show was his frequent use of Norm (ugh...I hate referring to this show in the past tense already).
Norm's standup is also fantastic. I'm not sure how often he revises his set, but I saw him a few years ago at Northeastern University (in Boston) and he was amazing. The crowd was pretty funny: it was one of those college comedy shows where tickets were dirt-cheap, so there was a steady stream of lame people fleeing Norm's set once it began. He did this one bit about watching a story about a missing person on CNN that had me crying.