It seems the band loved the Saturday Night Live skit in which Will Ferrell maniacally plays the cowbell after being urged by Christopher Walken:
Among the more amused viewers of the bit are the actual members of Blue Oyster Cult. "We didn't know it was coming," says Donald "Buck Dharma" Roeser, co-founder and lead guitarist of the group. "We all thought it was phenomenal. We're huge Christopher Walken fans." He adds, "I've probably seen it 20 times and I'm still not tired of it."
Still, they stand by the cowbell:
Fact is, there is a cowbell on "Reaper." If you listen closely to it on oldies radio, you can make it out in the background. But it was an afterthought. The song was recorded without it, and was added as an overdub at the last minute. According to former BOC bassist Joe Bouchard, an unnamed producer asked his brother, drummer Albert Bouchard, to play the cowbell after the fact. "Albert thought he was crazy," Bouchard told the Asbury Park (N.J.) Press in 2000. "But he put all this tape around a cowbell and played it. It really pulled the track together."
See, it pulled the track together, people. Let's let the cowbell have its dignity.
Quoted paragraphs are from Blue Oyster Cult, Playing Along With 'More Cowbell' in the Washington Post.