He was my favorite cast member on SNL back when they had that great crew in the late 80s/early 90s (along with Phil Hartman - those were some of the best years for SNL imo.) He was one of the most versatile characters they had who had a sort of an 'everyman' look that worked in tons of different scenes. It's sad his career never really prospered outside of SNL. If anything, I think he was simply TOO mainstream and didn't have an edge or gimmicky personality like other SNL members that made them standout once they were on their own.
And I agree that that Master of Disguise movie was painful. Then again, I'm about 22 years older than their target audience and I'm only 27.