In "Steve goes to College," Blue and her friends gave Steve a scrapbook to remember them by, wishing him good luck. Blue then gave him a phone as a present to keep in contact with them. Then he said goodbye to Blue and the viewers.
Steve: ... I'm gonna miss you. [Steve hugs Blue and turns to the viewers] I'm gonna miss you, too. I'll never forget how you helped me find all those clues. You really are so smart! Which reminds me... will you take good care of my brother, Joe, while I'm at college? ...Great, cause sometimes he needs a little help, kind of like me.
Steve then wishes all the other residents goodbye, and just before he leaves, he turns to the viewers again.
Steve: Thanks again for all your help.
The end of the episode "Blue's News". It turned out that the answer to Blue's Clues was that Mr. Salt and Mrs. Pepper had a baby. Steve is about to sing "We Just Figured Out Blue's Clues", when he has a double-take as he realizes that they had a baby, and he quietly sings a shortened version of the song as he goes to see them. The rest of the episode, where Steve, Blue, and the viewers are introduced to Paprika, is too precious for words.
At the end of the episode "Meet Polka Dots", when Blue and her stuffed toy Polka Dots are playing astronaut, we get a song (called "You, My Friend") sung from Polka Dots' point of view. It's sweeter than it sounds.
Later in the series, there's a five-episode story arc dedicated to the birth of Cinnamon (Mr. Salt and Mrs. Pepper's second child, and Paprika's little brother). The third episode has the residents of the house celebrating "Mr. Salt and Mrs. Pepper Appreciation Day" to show how much they appreciate them, and they even sing a song about it near the end of the episode.
"Our Neighborhood Festival" is dedicated "In loving memory of Fred Rogers. The neighborhood won't be the same without you." Clearly they truly meant it, as several of the show's staff would go on to create Daniel Tiger's Neighborhood.