Bert and Ernie build a snowman.
Again, we see the great, subtle nuances of Ernie's character: he feels such concern for the snowman, and yet he never even considers giving up his own hat. It's amazing how he can be so thoughtful/caring and selfish/inconsiderate in the same breath.
This sketch is actually a perfect analogy for how I feel about Bert & Ernie (and the Muppets in general). I know they're puppets, that they're not alive and they don't have feelings, yet I love them as though they were real people and I feel very protective of them, and I get annoyed/angry when I feel that they're being disrespected.
By the way, where exactly does this sketch take place? Sesame Street is well established as being in New York, yet there aren't any buildings in the background of this sketch. How far did they have to travel just to build a snowman?
Say, would you be interested in watching behind-the-scenes footage of Jim Henson and Frank Oz rehearsing this scene? If so, you can watch it here. It's from the 40th-anniversary DVD set, Sesame Street: 40 Years of Sunny Days, which was probably the best $20 that I ever spent.