Oscar is unusually caring and concerned in this sketch. Also, what is he doing out of his trashcan and wandering around Bert & Ernie's apartment?
Ernie's hysteria is really funny, but it particularly makes me laugh when he says, "You can't just go to the store and buy a rubber duckie!" because apparently that's exactly what Jim Henson did in the first place, not knowing that it would become a cultural icon.
I laugh at the sound that Oscar's toy makes when you squeeze it. I used to have a toy called a "groan stick" that made a very similar sound.
Maybe I'm too literal minded, but I would have thought the fact that a rubber duckie is shaped like a duck would go without saying.
And they both promptly forget the lesson at the end, to great comedic effect.