The 2nd, and most popular, of Franz Liszt's nineteen Hungarian Rhapsodies in C-sharp minor was performed by Victor Borge and Rowlf in episode 405 of The Muppet Show.
Lang Lang also performed the piece when auditioning for Oscar's Grouch Symphony Orchestra in Sesame Street Episode 4084.
In My Furry Little Shadow, Grover incorporates the song in the final verse on he and his shadow dancing. The instrumental is repeated following the segment on SesameStreet's YouTube Channel. (YouTube)