Revealing mistake: When Sweetums scares the girls out of the tent, watch the first girl that runs out screaming. If you look at her face closely, you can see that she is smiling.
Revealing mistake: When Fozzie comes out on stage and starts his act, you can see lines around him, suggesting he was matted into the scene. He also reacts a second too late to the gun being shot by him, and he doesn't cast a shadow.
Revealing mistake: As Kermit walks by the bus, the lower portion of fabric covering the operator's arm is visible.
Revealing mistake: As the camera pans down to Kermit sitting in the empty sound stage, it's easy to tell that the sides of the stool are actually solid with the background painted on them to hide the puppeteer.
Revealing mistake: In the scene where Kermit and Miss Piggy are having dinner, you can see a square outline around the moon.
Answer: This is Big Bird's only movie where he says this line. It is a reference to his going to New York hoping to get a role on Public Television (the station that created "Sesame Street") This is verified in TV interviews with the late Jim Henson and on Wikipedia.
OneHappyHusky