Easter egg: (This easter egg is 2 for the price of 1.) On Disc 1 of Season 3, go into the 'A Tale of Two Santas' menu. Press right to highlight the picture. Press enter to listen to the table read for this episode. Also, you can highlight the picture then press up to highlight Santa's hat. Press enter here to view a Christmas message from the executive producer.
Easter egg: This egg is on every disc of the Season 3 DVD box set. At the very beginning of each disc, after the legal stuff has finished, there is a lot of alien writing. When this appears, enter the number '35' for a translation.
Answer: Yes Leela knew from early on that Fry had feelings for her. They were pretending to be a couple in 'A Flight to Remember' from season 1 and Fry tried to get on dates with Leela ever since. She just didn't show signs of the feelings maybe being mutual before some of the later episodes.
Andreas[DK]