The sketch where a customer tries to buy cheese from a shop that has none is called “Cheese Shop.” It appeared in episode 33 of Monty Python’s Flying Circus, “Salad Days,” which first aired on 30 November 1972.
John Cleese plays an unusually patient customer who visits Ye Old Cheese Emporium, run by Michael Palin’s shopkeeper. The joke builds as the customer requests one cheese after another, only to hear increasingly absurd explanations for why each variety is unavailable. The shop has no cheddar, despite the customer calling it “the single most popular cheese in the world,” and eventually has almost nothing at all.
The sketch grew from an idea involving a chemist’s shop. After Cleese mentioned wanting cheese, the Pythons considered a customer asking a chemist for medicinal cheese. They decided that a cheese shop with no cheese was an even stronger premise. Graham Chapman and Cleese wrote it, and Michael Palin’s enthusiastic reaction helped secure its place in the show.
“Cheese Shop” is sometimes confused with “Dead Parrot,” another famous Palin-and-Cleese sketch. The two were later performed together, with “Cheese Shop” serving as a surprise coda in Monty Python Live (Mostly).