• Jimmy Fallon as Bobby Rondinelli on drums (Albert Bouchard was the actual drummer at that time).
• Will Ferrell as Gene Frenkle on cowbell
• Chris Kattan as Buck Dharma on guitar (Dharma actually sang lead vocals on the track).
• Chris Parnell as Eric Bloom on lead vocals and guitar
• Horatio Sanz as Joe Bouchard on bass guitar
• Christopher Walken as music producer "The" Bruce Dickinson

Will Ferrell's idea for the sketch came from hearing "(Don't Fear) The Reaper" over the years: "Every time I heard [the song], I would hear the faint cowbell in the background and wonder, 'What is that guy's life like?'" Ferrell, who had experience writing sketches for himself from his time with the The Groundlings, first submitted the sketch for the episode with Norm Macdonald as host, which aired on October 23, 1999. Some sources credited Donnell Campbell as a co-writer, but this was disproven in an interview with Ferrell and a SNL archive of scripts. SNL creator and executive producer Lorne Michaels was unsure about the premise, though the sketch played well among crew at the table read. According to Seth Meyers, who served as head writer several seasons later, the sketch was submitted over seven times before making the show. Early iterations of the sketch used a woodblock, not a cowbell. Ferrell re-wrote the sketch when Christopher Walken was scheduled to host to fit the actor's rhythm.

The actors who appeared in the sketch had trouble keeping straight faces. They found Ferrell's acting, along with Walken's stone-faced performance, so funny that they were all on the verge of corpsing and ruining the sketch several times. On "Take Two", Walken can be seen through the booth glass, laughing, as Ferrell's too-tight shirt rides up, exposing Ferrell's stomach while he is dancing and playing the cowbell. Even Ferrell at one point can be seen laughing for a moment soon after Jimmy Fallon laughs for the first time in the sketch. According to Ferrell and Michaels, the sketch did not do well in dress rehearsals, and Ferrell had the idea of performing in a smaller shirt in the live sketch. According to Fallon, Ferrell's tighter shirt made him unable to stop laughing, and had to bite his drumsticks to avoid breaking the scene.

While the song "(Don't Fear) The Reaper" by Blue Öyster Cult does indeed include a cowbell playing throughout the song, its sound is largely drowned out by the rest of the instruments. According to Donald "Buck Dharma" Roeser, the lead singer and author-composer of the song, the sketch accurately portrays the band's look during the 1970s, but it inaccurately portrays some of the details of the actual recording:
• The sketch has the recording session taking place at Sunshine Studios in late 1976. In reality, the song was recorded at the Record Plant in New York City, in late 1975 or early 1976 (the album the song first appeared on, Agents of Fortune, was released in May 1976).
• Parnell plays the group's lead singer, "Eric". While Eric Bloom was the band's lead singer, Roeser performed lead vocals for the song. Drummer Albert Bouchard is incorrectly referred to as "Bobby" (Bobby Rondinelli, their drummer at the time the skit aired), and keyboard player Allen Lanier is notably absent.
• Gene Frenkle is a fictional character invented for the sketch, although his appearance was modeled on Eric Bloom's appearance at the time. Despite the fact that Frenkle is fictional, fans occasionally express their sympathies to Blue Öyster Cult over his death.
• Christopher Walken portrays producer Bruce Dickinson. The song was actually produced by David Lucas, who discovered Blue Öyster Cult and co-produced not only their first eponymous album, but went on to produce their subsequent albums Agents of Fortune and Spectres. The actual Bruce Dickinson was only a mid-level manager at Columbia Records whose name appears on a Blue Öyster Cult reissue CD and a greatest hits compilation as the "reissue producer". The SNL intern who was sent out to get the album Agents of Fortune got a "hits" compilation instead.
• Ferrell later revealed that the father of a woman working in the SNL art department worked with BOC on Agents of Fortune. She reported to Ferrell that the band had seen the sketch and said the actual cowbell player was not unlike Ferrell's interpretation. Producer David Lucas, on his website and in later interviews when he was inducted into the Buffalo Music Hall of Fame, reported that he was the one who actually played the cowbell. In interviews, Albert Bouchard has also claimed to be the real cowbell player, saying Lucas confused the songs on which he played cowbell, although he credits Lucas with the idea.