SNL has always had pre-recorded skits to some degree. (Perhaps you remember the infamous John Belushi “I’m a dancer” skit). But the digital skits started out when Andy Samberg and the rest of his comedy troupe, The Lonely Island (of “I’m on a Boat” and “Jizz in my Pants” fame) began filming sketches which were cut from episodes, but the troupe thought were funny enough to film. When the skits began to actually air, people really liked them, so it started becoming a regular feature on the show.