The first occurrence of the multiple repeated knocks appears in Series 1 Episode 10 - The Loobenfeld Decay:
Sheldon: (Knock, knock, knock, knock) Leonard, (Knock, knock, knock, knock) Leonard, (Knock, knock, knock, knock) Leonard...
Sheldon: (Knock, knock, knock, knock) Penny, (Knock, knock, knock, knock) Penny, (Knock, knock, knock, knock)Penny, (door opens) Good morning.
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The Big Bang Theory episode where Sheldon Cooper plays the theremin is entitled The Bus Pants Utilization.
In Season 3, episode 16 on the episode entitled The Excelsior Aquisition, Sheldon goes to jail for contempt of court after insulting the judge while fighting a traffic ticket.
Uh.... I don't understand your question. I don't remember an episode of "The Big Bang Theory" in which Sheldon and Leonard did that to each other.
episode 8, season 3, 'The Adhesive Duck Deficiency'
That's the season 2 Christmas episode, and the first Big Bang Theory Christmas episode. The episode number is 11 and the name is "The Bath Item Gift Hypothesis"