Mary Ellen Matthews/NBC/NBCU Photo Bank
February 04, 2015 02:15 PM

According to Saturday Night Live creator and producer Lorne Michaels, being on his show, “Is likely the hardest job most people ever have.”

Michaels spoke to PEOPLE for this week’s issue, in a feature celebrating 40 years of the iconic NBC hit.

Despite how much fun it all looks, putting together America’s favorite live sketch comedy show means a life of long days and even longer nights. Still, any comedian will tell you, it’s a dream gig. That is, once you make it through a nightmarish audition process.

Here, Jimmy Fallon, Bill Hader, Kate McKinnon and Kenan Thompson share with PEOPLE the most nerve-wracking moment of their careers.

Jimmy Fallon
I was so nervous. I remember I went to a place called Stardust Diner and had a hamburger and a banana health shake before I did the audition and I went back to my hotel to eat and call my sister. I told her I was thinking of adding something in and she was like, ‘Oh my God, Jim, don’t screw this up!’ I got to 30 Rock with my disposable camera and took pictures of the elevator. I just couldn’t believe I was on my way up to Saturday Night Live! This guy with a box of wigs and a giant keyboard went ahead of me. I thought, ‘How am I supposed to follow that?’ My hair was fully spiked, I’m wearing the tightest outfit in the world and everyone kept telling me, ‘Don’t worry if Lorne doesn’t laugh.’ But I went out and did an impression of Adam Sandler, who’d just left the show, and all of a sudden he started laughing! I thought to myself, ‘Wow, even if I don’t get this, I made Lorne Michaels laugh.’ After that I just floated back to my hotel and called my sister.

Bill Hader
Megan Mullally had seen a sketch show I was in and recommended me to Lorne for the show. He came to L.A. and said, “I want to see the exact show that Megan saw.” It went really well, but he just thought that all the people in the audience were my friends cheering me on. So I had to come out to New York and audition. It was July 21, 2005, and I remember getting into the elevator at 30 Rock next to a guy who had tons of props. It was Andy Samberg. I was really nervous because I hadn’t brought props, but later Andy said he was looking at me, going, ‘Oh man, that guy doesn’t need props!’ I did this Vinnie Vedecci, Italian character, and the minute I went into that voice, Tina Fey started laughing. Her laugh might have gotten me the job.

Kate McKinnon
I was lucky in that I only had to do it once because if I had to do it a second time I probably would’ve left earth or something. They told me I was auditioning a week or two beforehand so I was frantic. I cobbled together all of the characters I’d ever done and practiced a lot. It was so scary. While we were all getting our makeup done backstage I ran into Bobby Moynihan. I didn’t think he knew who I was, but he had seen something I’d done and told me he thought I was funny. That set me at ease. I was like ‘Okay, I can do this.’ I really owe my life to Bobby.

Kenan Thompson
I was trying to get to SNL as soon as I left Nickelodeon back in 2000. I kept sending tapes but getting rejected. A couple years later Tracy Morgan left the show, so I think they were getting serious about hiring new African Americans and I got a chance to finally audition in New York. I had never done stand up before, but I did an impression of Al Sharpton and Arnold Schwarzenegger talking on the phone. It wasn’t very good, but I was having fun and I think they could see that. I ended up getting the job in 2003. Now I’m the oldest current cast member!

Saturday Night Live‘s star-studded 40th Anniversary show airs Feb. 15 at 8 p.m. on NBC.

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