Here's a fun one -- on Inside the Actors Studio, Kevin Spacey does a solid five minutes of spot-on impersonations. My favorite is the Walken.
Included: Jimmy Stewart, Johnny Carson, Katharine Hepburn (!), Clint Eastwood, Sir John Gielgud, Marlon Brando, Christopher Walken, Al Pacino, and Jack Lemmon.
See also: Kevin Spacey on impersonations -- talking about his process a bit, and a brief Bill Clinton impersonation.
(Via Daring Fireball.)