Continuity mistake: At the beginning of the 'Ministry of Silly Walks' sketch, John Cleese is holding his briefcase in his left hand. when the shot changes to outside, showing him leave the newsagents, it switches to his right.
Continuity mistake: During the Ministry of Silly Walks sketch, in the office, John Cleese pulls out a film-projector from his desk, and you can see the power cord plugged into the back of it. After the spoof black-and-white film footage showing the silly walks, John Cleese throws the projector away. The power cord, which was originally plugged in, has disappeared completely.
Chosen answer: The song you talk of was originally a poem by William Blake called 'Jerusalem'. It speaks of the possibility of Jesus having visited England. The poem has four verses but you only ever hear the Monty Python boys sing the first one which goes, "And did those feet in ancient time/Walk upon England's mountains green/And was the holy Lamb of God/On England's pleasant pastures seen?" If there's any sort of in-joke connected to it's use, I'm not aware of it. It seemed to just be the standard song/hymn they used when a song was needed that wasn't sketch specific. Some of the sketches it appeared in were 'Salvation Fuzz/Church Police', 'Buying a Bed' and 'The Art Gallery Sketch'. Something that may be relevant, though, is that the only one who was present every time it was sung was Eric Idle. Perhaps he just liked it?