Peter Parker and Mary Jane attend a taping of Saturday Night Live where Stan Lee is the special guest host. Bill Murray and the rest of the SNL cast comes into conflict with the Silver Samurai after John Belushi comes into possession of a teleportation ring intended for J.B. Lu-Shi, apparently an associate of the Japanese mutant's. Bill and the Not-Ready-for-Prime-Time Players are assisted by Spider-Man. Though the Silver Samurai eludes capture with the ring, Murray, his cast mates, and the webslinger still feel a sense of accomplishment in preventing anything worse from occurring.
Bill Murray is a real life comedic actor but was created as a comic book character by Chris Claremont and Bob Hall in 1978 and first appeared in Marvel Team-Up # 74.
Outside of Marvel, several movies Murray has been in have been parodied in Mad magazine.
While Murray has not appeared in any comic book movies, he was cast in Garfield, a choice he possibly regrets as indicated by his death scene in Zombieland.