The Big Bang Theory Season 3 Episode 13
The Bozeman Reaction
After going out to dinner with the guys, Sheldon and Leonard return home to find their apartment broken into. But don't worry, nobody stole their comic books. After giving the police a detailed report, Sheldon learns CSI isn't coming and the police are giving up on the matter. That's when the boys bring in Wolowitz to give them a state-of-the-art home security system he stole from the DOD, who apparently lack proper security themselves.
Even with the new security system in place, Sheldon can't sleep at night. After one the system's traps ends up catching him, he decides he's done with Pasadena and ready to move. After intense research, Sheldon settles on Bozeman, Montana and packs two bags and hops on the next train. However, as soon as Sheldon arrives in Montana, his bags are stolen at the train station and he heds right back to Pasadena.