It's always risky for actors that are mostly known for comedies to take a deeply dramatic part: while they might win praise for their range, it's more likely they will get blowback from people who only want to see them do more of the same. The Skeleton Twins provides an interesting study of this phenomenon, because it has two comedians taking on two serious roles, but I think it only worked for one of them.
The comedians in question are Bill Hader and Kristen Wiig, both formerly of Saturday Night Live, and the movie is so serious that it opens with Bill Hader's character trying to slit his wrist in a bathtub. In the next scene, Wiig's character is about to swallow a fistfull of pills before she gets interrupted by a phone call summoning her to Hader's bedside. The rest of the movie is about their attempt to heal themselves and their relationship with each other, and while there are plenty of moments where the two of them goof around, the threat of death is always lurking. The Skeleton Twins starts out in L.A., but it is a long way from the Californians.
Both Wiig and Hader are good in their roles, but I was far more comfortable with Wiig's transformation than I was with Hader's. The difference isn't about their range as actors, it's about what I want from them as performers. When Wiig was on Saturday Night Live her characters tended to be absurd concoctions that couldn't exist in real life - characters like Dooneese, the freakish dancer on the Lawrence Welk Show. When you see Wiig in a different context - a grounded one, where she looks and acts like a regular person - it's easier for her to disappear into the character she's playing, because there are no lingering reminders of her more comical creations.
In contrast, Bill Hader's characters on SNL tended to be recognizably human. He played a lot of newscasters, for example, and other authority figures who secretly hid an absurd or idiotic side of their personality. Hader's character in the Skeleton Twins is similar, except he's reversed: his humor is on top, and underlying his surface level of sarcasm is sadness. Because he was walking like Hader, and talking like Hader, and often being funny like Hader, I wanted him to be Hader and not this suicidal mess of a man. Even though I knew going in that he was going to be playing a human being in this movie and not a one dimensional sketch character, every time he stopped telling jokes and returned to being miserable I felt like I was the victim of a bait and switch.
I don't think it's Hader's fault that I didn't buy his performance; my expectations were the problem, not his ability to inhabit a character. But I think the contrast between Wiig and Hader is still instructive, because it shows how she's done a better job of managing people's expectations of her. I can't think of any Hader performance where he showed a serious side, but in Bridesmaids, Wiig's biggest comedy, her character was broke, depressed and stressed out as well as being very funny. Given that, it's a smaller step for her to be in a fully dramatic role, while Hader's sudden switch gave me whiplash.
If you look back at the comedians who successfully transitioned into dramatic parts, most of them did it slowly. Bill Murray eased so gradually into his middle-aged depressive character that the audience had enough time to evolve their expectations of what a Bill Murray movie should look like. In contrast, Jim Carrey was talking out of his buttcheeks one day and then being very maudlin the next, and that created a justifiable backlash. Hader and Wiig might have both started at the same place, but they've nurtured their talents in such different ways and matured at different rates that it's hard to think of them as being similar anymore. I'm sure that happens with twins all the time, and normally that wouldn't be a problem - but for the Skeleton Twins, it was a real challenge.