Kellyanne Conway Has a Favorite 'SNL' Skit of Herself

Kellyanne Conway watches Kate McKinnon's impressions of her on 'SNL' ... and she even has a favorite skit.

Kellyanne was arriving in D.C. Monday when a pap asked what she thinks of McKinnon lampooning her on almost every 'SNL' episode for months now. It's obvious KC is impressed because she had an answer locked and loaded.

NO. DAYS. OFF.