Season 1's "Sometimes You Hear the Bullet", the first hint that the show was not just a light comedy.
The season 3 finale, which killed off the company CO. The urban legend that the cast were not told of the character's death beforehand is false. They weren't told until just before the scene so that the reactions would seem authentic. A lot of the supporting cast and crew didn't know, though, and the first take of the scene was actually ruined by the crew gasping in reaction to the news. The instrument someone dropped was an actual reaction from the actor.
To cement the above, the season 4 opener sent Trapper home and introduced a replacement, followed an episode later by the introduction of a new CO.
The season 6 opener got rid of Frank and replaced him with Winchester, marking an end to the zanier antics between the Swamp-mates.
The season 8 2-part episode "Goodbye Radar" had the death of Uncle Ed and the departure of Radar.
The final episode "Goodbye, Farewell and Amen", which covered the end of the Korean War and locked the lead character in a mental hospital, also qualifies.