Chronologically episode 3.  We learn more from Yuki about the Integrated Thought Entity of which she's a part.  When Haruhi decides to look for mysteries, the SOS Brigade searches the city in groups to find them.  When Mikuru is with Kyon she tells him about the existence of the Time Travelers and how she's been sent back in time to observe Haruhi - everything else is classified information though.  Kyon also learns from Itsuki that he is an esper and is a part of "The Agency".  When he asks for a demonstration though, Itsuki tells him it has to be the right time and the right place for that.