The Avatar and the Firelord - S3-E6
Firelord Sozin: With Roku gone and the Great Comet returning, the timing was perfect to change the world. I knew the next Avatar would be born an Air Nomad, so I wiped out the Airtemples, but somehow the new Avatar eluded me. I wasted the remainder of my life searching in vain. I know he's hiding out there, somewhere. The Fire Nation's greatest threat; the last Airbender.
The Cave of Two Lovers - S2-E2
Iroh: Where are we going to go? We are enemies of the Earth Kingdom, and fugitives from the Fire Nation.
Zuko: If the Earth Kingdom discovers us, we'll be killed.
Iroh: But if the Fire Nation discovers us, we'll be turned over to Azula.
[Iroh and Zuko give each other a meaningful look.]
Zuko: Earth Kingdom it is.
Sozin's Comet (4): Avatar Aang - S3-E21
Aang: Firelord Ozai! You and your forfathers have devastated the balance of this world! And now, you shall pay the ultimate price!
Roku: You think I am weak?
Jeong Jeong: Avatar Roku! No, no, I did not mean that.
Roku: I have mastered the elements a thousand times in a thousand lifetimes. Now, I must do it once again.
The Ember Island Players - S3-E17
Sokka: Listen to this: The Boy in the Iceberg is a new production from acclaimed playwriter Pu Won Tin. He scowered the globe gathering information on the Avatar. From the icy south pole to the heart of Ba Sing Se. His sources include singing nomads, pirates, prisoners of war and a surprisingly knowlegable merchant of cabbage.
Answer: The pirates are from the episodes "The Waterbending Scroll" and "The Waterbending Master" (They're the ones Katara stole the scroll from). The traveling musicians are from "The Cave of Two Lovers. The prisoners of war likely refer to the Kyoshi Warriors, the men of the Southern Water Tribe, and possibly Bumi and the other citizens of Omashu.