My favourite sketch (and it IS hard to pick just one!) is the "Church Police" sketch. Why? Because the otherwise super-professional Pythons can't keep from laughing themselves as things go slightly wrong. Just look when Terry Jones' wig comes right off as he jumps... They crack up. I have never seen that happen before, and every time I see it I laugh so hard it hurts.
If you have never seen the TV-series before, this may not seem as all that much of a great movie. But being an almost fanatical fan of the Pythons, seeing these sketches live is a wholly enjoyable experience.
The only sad thing is that most of us never attended the bloody thing. Nonetheless, this is a must see.