TV series and episodes

Hi,
I learned how yo use prepositions with programs and commercials...
on a TV/radio program
in a TV/radio commercial
...but I'm now wondering about "episodes" and "series". What preposition should I use?
...a (TV) series
...an episode of Lost/The Simpsons/whatever...

Thanks

PS: I forgot "...an episode of the show", "an episode of the Morning Zoo (= radio show)" - I know it's "on" a show, but I'm not usre what happens when I'm talking about an episode.