Lots of the SNL skits I've seen over the years aren't that memorable... but this one, "Change Bank" has long been a favorite of mine.
Changing jobs is tough. The most difficult part, for me, is dealing with the emotional ties I made at the previous job. It's heart-wrenching leaving people you spent 8 hours a day with for the last n years. Second to the emotional change is the anxiety you have before you start the new job, not fully knowing how things will play out.
My experience has been that things will be great at the new place... just as the were at the last. The key for me is making the transition a quickly as possible.