Season 4, Episode 1: Roswell that Ends Well
This might be the best line in the episode:
Professor: "Start the ship, Leela! Let's just steal the damn radar dish, and get back to our own time."
Fry: "But, but, won't that change history?"
Professor: "Oooh… A lesson in not changing history from Mr. I'm-my-own-grandpa! Let's get the hell out of here already. Screw history!"