The phrase used to open the February 23, 1991 episode of
Saturday Night Live (hosted by
Alec Baldwin and musical guest
Whitney Houston), replacing the usual "
Live from New York, it's Saturday Night!" phrase.
The replacement was part of the punchline of a sketch where Dana Carvey hosted a John McLaughlin-esque panel and proclaimed every member of the panel wrong for each question. The final question of the sketch was "What phrase opens the show?" and each panelist gave the correct answer, "Live from New York, it's Saturday Night!", which Carvey decreed wrong, and instead decided that "Show, show, show, here we go!" was the correct way to open SNL.
References:
http://www.geocities.com/blebaron/SNL/9095.html provided the date
a cable TV rerun provided the sketch info