The live show is based off of the 90's sketch comedy show of the same name that was filmed and aired in Canada. I learned about it when it went into syndication on Comedy Central when I was in middle school. The best way to describe it is as an edgier, sometimes creepier, sillier, more flamboyant version of Saturday Night Live. In fact, I think it was produced by Lorne Michaels, the same person who produces SNL, and one of the actors starred on both programs. Anyway, Kids in the Hall still has a huge cult following and, well, where there's a cult there's me. :)
There were so many ridiculous and incredibly creative characters in that show that don't match anything that is currently on TV (at least American tv). Most of their sketches poked fun at gender, sexuality, religion, and cultural norms. Maybe it was ahead of it's time and maybe it still is. The show only lasted 6 seasons, but people still love it so the cast occasionally goes on tour and performs sketch comedy live for it's fans. This clip is a classic example of the twisted humor the show used.