Why?
Because people laugh at impersonations regardless of quality. Its the surest example of "'A' for effort"
Based on this, I stopped putting effort into impersonations. In fact, the best impersonations sound exactly nothing like the person whom is being mimicked, but you are using your "kooky" voice or for the "I'm-so-Stephen-Wright-that-I-have-a-package-of-instant-water-but-don't-know-what-to-add-to-it-ba-bump-bump" crowd, your laconic voice.
The Canonical Example
Is from The Good Life, the highly unsuccessful show that launched the moderately successful career of DrewCarey and proved that just because you are the son of a semi-famous sociologist doesn't mean that everything you do for TV will mean that you will have great writing gigs (John Martin was also a writer for "Homeboys from Outer Space"), and it goes like this:
Sean Connery and Tom Jones Having Breakfast
"Hello Sean"
"Hello Tom"
"Would you pass the Orange Juice"
"Yes, of course"