This episode won the 2007 Annie Award for Best Writing in an Animated Television Production. (edit) Blackboard Joke: None.
Couch Gag: The couch enters the room on a conveyor belt with Bart, Maggie, Lisa and Marge already on it. Homer is put on the couch by a robot gripper. The couch moves on, off screen. (edit) In the year of 2006, this episode won an Emmy for "Outstanding Animated Program for One Hour or Less", beating its competition of Foster's Home for Imaginary Friends, Camp Lazlo, Family Guy, and South Park. (edit)

Lisa: Aw, Dad, did my story make you cry?
Homer: Well, it was very moving, but the thing is, BATS ARE CHEWING MY LEG! (edit) Snake: I was, like, excavating this Mayan pyramid, and I uncovered these gold coins, and I was like, dude, could you BE more Pre-Colombian? (edit) Moe: To win her love, I had to get rid of the human garbage, otherwise known as my best friends. (edit) Moe: But I thought you didn't want to date a tavern owner.
Mrs. Krabappel: At this point, all I want is a man with a healthy libido.
Moe: Uh-huh. Well, this is where it gets awkward again. (edit) Texan: Yee-haw! I'm 'onna win me a nuclear plant!
Burns: Dream on, bitch. (edit) Moe: (voice over) I was the happiest guy in the world but Fate likes to play a little game called Up Yours Moe. (edit) Moe: (voice over) I had to get Edna out of Springfield; make a fresh start in a new town, far away; a place where we could play bridge with our neighbours. And if they're interested in wife swapping, who am I to say no? I'm just the new guy. (edit) Moe: Ah, these are some of the local alcoholics I told you about.
Carl: Don't pigeon-hole us; we have other vices.
Lenny: I dress up like a baby! (edit) Moe: (voice over) For one sweet summer I was a true gentleman, as a result of which Krabappel was lettin' me do 'er. (edit) Moe: (voice over) I was heading to the restaurant supply store to buy some urinal cake mix when I was suddenly side-swiped by love. There she was, the gorgeous new girl in town, Edna Krabappel. She had gossamer hair, limpid eyes and the rack of an angel. (edit) Mr Burns: The sheep was harmless… I sacrificed my gorgeous body for nothing. (edit) (When the kids see Mr. Burns.)
Milhouse: It's the boogieman's grandfather! (edit) (Lisa trying to run to safety)
Lisa: Mad Beast!
Burns: Liberal midget. (edit) Keypad: Enter password.
Burns: Dammit I forget.
Keypad: Forgot password? Enter place of birth.
Burns: Pangaea.
Keypad: Correct. Your password has been emailed to you.
Burns: D'oh. (edit) Moe: You crazy skirt! No one backs out on fake-good Moe! (edit) Moe: (voice over) Love had handed me an awful dilemma. Should I rob this guy, or should I rob him and kill him? (edit) Moe: (throwing Barney out for the third time) Barney, how do you keep getting back in?
Barney: I'm a drunk; I don't know nothin' about how I do anything! (edit) Homer: Wait! Wait, wait, wait…. Now you're telling me Burn's story?
Lisa: Yeah. It's like the play-within-a-play in Hamlet.
Homer: Huh?
Lisa: Let's see… it's like when you watch old home movies of you watching TV.
Homer: Gotcha! (edit) Snake: (after being robbed by Moe) I've been robbed! I'll take my revenge on society… by which I mean convenience stores! And who would suspect me, Professor Jailbird! (edit) Moe: (to Homer, Barney, Lenny and Carl) Listen Boozebags! I got a good thing going here. If you mess it up I will out the one of you who is gay! (edit) Martin: (attached to a kite being flown by Nelson) Lab partners don’t treat lab partners like this!
Nelson: Shut up and attract lightening!
(edit)

The music playing during Lisa's walk home from school is from Beethoven's 6th Symphony (also known as the Pastoral Symphony).  Initially, the music being played is from the first movement ("Awakening of cheerful feelings upon arriving in the country").  When the sheep is chasing Lisa and Mr. Burns, the music is taken from the fourth movement ("The Storm"). (edit) The music playing during the scavenger hunt is "Hoe-Down" from the ballet Rodeo by Aaron Copland. It's become synonymous with cowboy-themed movies and (unfortunately) those "Beef; it's what's for dinner" commercials. (edit) Items on the scavenger hunt list include:

Blue Rose
Suspender
Colander
The Letter "I"
Peruvian Cockroach
Lard Lad
Tombstone
Homer Hair
Picture of Yourself with Smiling Child (edit) We learn the power plant's address... 100 Industrial Ave. (edit)

The Good, the Bad and the Ugly: Although the number of participants is different, the "Mexican standoff" near the end is an homage to the climax of this 1966 film, notably in the music and camera work. (edit) Carl's Dad Caverns
The cave the family goes is “Carl's Dad Caverns,” which is a spoof of “Carlsbad Caverns”, a National Park located in New Mexico. In the Simpsons version of the caverns there is a famous stalactite, whereas in Carlsbad, there is a famous stalagmite. (edit) The Saragossa Manuscript: The way the episode is done, a story within a story, within a story, etc. is taken from the book The Manuscript Found in Saragossa by Jan Potocki, which was later made into the 1965 film “The Saragossa Manuscript” by Wojciech Has. (edit) Uncle Pennybags and Commander McBragg
Uncle Pennybags, the "mascot" from Parker Brothers' perennial hit board game Monopoly and Commander McBragg from The World of Commander McBragg both appear in the Exclusionary Club. Commander McBragg is also seen as the master of ceremonies at the beginning of the scavenger hunt. The World of Commander McBragg appeared within episodes of Tennesse Tuxedo & His Tales; in this animated short, Commander McBragg recounted over the top tales of his world travels. (edit) The Never-Ending Story
The episode title is a take-off from Wolfgang Petersen's 1982 film The Never-Ending Story, based on a book with the same title by Michael Ende. (edit)