LOL, I just watched the second to last episode of Season 3, the one with Zog. In it they watch the last episode of Crognog the Barbarian, and he dies in 10 seconds to a giant monster.
The Turtles then scream, "Wait, that's it? After all those adventures he just bites it? How anti-climatic!" They then search frantically online and Mikey says, "All the fansites say this was the last episode!" And Leo quickly adds, "You mean there wasn't at least a movie or something after?"
And later in the episode Raphael gets mad they watched the finale without him, and then Leo yells at Mikey, "You're not still mad about the finale are you?"
Holy crap. Everyone rewatch that episode right now. Their reactions to the Crognog finale in Season 3 mirrors this shows reaction in Season 5 in real life and the finale.