If you haven't started Episode 5 yet, you may want to skip this post.
This is mostly for those of you who have read the Sam and Max comics.
At the beginning of #5, if you click on the picture of Sam and Max on the moon, Sam says something to the effect of "I can't help but feel like I forgot something on our last trip to the moon."
The picture clearly ties into the comic "Bad Day on the Moon" (reprinted in Surfin' the Highway) which was also used for an episode of the Sam and Max animated series, remaining reasonably faithful to the original comic. This can be evidenced by the paper bags that Sam and Max are wearing.
Now much like Max was wondering in episode 3 where his boxing glove had disappeared to with the punchline to the joke showing up in episode 4, I expect this is a joke that will pay off in episode 6 when we'll finally find out what it is Sam forgot on the moon.
Now I'm wondering...what do you think it is Sam forgot? And do you think there is a clue within the comic and/or the animated cartoon?