Over the years, Cleese and Palin have done many, many versions of this sketch for various televison shows/specials, albums and live performances. This is also the case with some other famous Monty Python sketches, such as "Nudge Nudge" and "The Lumberjack Song".
Warning: Wikipedia contains spoilers
A customer enters a pet shop, complaining that the parrot he has recently bought is dead.
The shopkeeper denies this and points out the beauty of its plumage. He suggests that the bird is merely asleep. The customer is unconvinced, especially when shouting and the offer of a lovely fresh cuttlefish fail to evoke a response.
The customer takes the parrot out of the cage and thumps its head on the counter, then throws it up in the air and watches it plummet to the floor. Shopkeeper remains unconvinced, claiming that it is stunned, and that it is pining for the fjords.
Customer points out that the only reason that it had been sitting on its perch in the first place was that it had been NAILED there. The shopkeeper claims that is to stop it escaping. The customer than utters the immortal words:
As seems to be the case with many nonsensical comedy routines, some analyists have searched for a "deeper meaning" hidden within the sketch. Some have interpreted the parrot debate as a sixth level theological argument concerning the existence (or otherwise) of God. Others haven't.