What's easy to let slip through the cracks is that both are alum of Saturday Night Live, though not at the same time. Julia Louis-Dreyfus was there from 1982-85, and Tina Fey began in 2000 until 2008. (Actually, she started with the show in 1997 as a writer, and made a few uncredited appearances before she became an official cast member on Weekend Update.) I would not be me if I didn't also note that both began their comedy careers in Chicago -- Julia Louis-Dreyfus in a comedy-improv troupe at Northwestern, and Tina Fey at Second City.)
By the way, Julia Louis-Dreyfus had a great tweet the other day. I don't recall the exact phrasing, but it was basically, "Isn't it wonderful that we finally have someone called 'Madame Vice President' who isn't a fictional character."