It really does show just how versatile a performer Kate McKinnon is, in that in one single sketch, she does about three different characters and the transition is seamless.
While her Hillary might not be up there with Amy Poehler's, it's still far better than Darrell Hammond's rendition of Donald Trump in comparison with Alec Baldwin's. Not only that, McKinnon's able to get the physicality of each role just right.
And, yes, this sketch is just as creepy as the opening scene of It, on which it's based. Take a look.