"Meatballs or Consequences", when you think about it. The Grim Reaper comes to take Wakko away, and the other two decide that they want to go, too, rather than be separated from their brother. Subverted somewhat in that they're all awfully chipper about it.
Yakko: "Oh please don't separate us Mr. Death. We love each other. We're a family, a set, like Civil War chess pieces from the Franklin Mint."