Tina & Jimmy have been in several sketches together outside of Update.  

(Jack Black): Monologue 10-4-03 
    Jimmy & Tina appeared simultaneously in Jack Black's backstage monologue.

(Ray Liotta): Hannibal  1-18-03  
    Jimmy impersonated Pat O'Brien and Tina played Nicky/Paris Hilton in this parody of the movie Hannibal.

(Kirsten Dunst): Wake-Up Wakefield  5-11-02  
    The first sketch where both are featured throughout!  
                                               

(Jon Stewart): Newsmedia  2-9-02 
    Tina & Jimmy played themselves [as Update anchors] in a sketch revolving around newsmedia personalities.  The other newscasters in the sketch included Jon Stewart (himself), Tom Brokaw, David Letterman, and Dan Rather.        

    TOM BROKAW: Well, hello Tina. [grins]
    FEY: No, I'm supposed to be Ashleigh Banfield.  [to Jimmy] Ya know what, forget it. I shouldn't be in sketches anyway. [runs off set]

(Gwyneth Paltrow): Boston Teens  11-10-02
    Tina had a cameo in this recurring sketch which she writes with Rachel Dratch.   
     
      MS. POLASKI: I'm on to you, Sullivan.  Your wet buns better have a wiener in them...
      SULLY: Tommy, please tell me you got that on tape!