If you are looking for the third episode of a major series, you might be thinking of one of these standout installments: (Season 1, Episode 3: "The Buys")
: The legendary stick-up man makes his first appearance, robbing a Barksdale stash house.
A literal "cover me" scenario occurs as Walt faces a deadly moral crossroads: [S1E3] Cover Me
: Uncle Junior orders a mock execution for Christopher and a real one for Brendan Filone to re-establish authority.
While not titled "Cover Me," this episode features a major introduction and a pivotal "cover" moment for the police detail: If you are looking for the third episode
: Lieutenant Daniels covers for his detectives after they cause a near-riot at the towers.
This episode explores the psychological "cover" characters use to deal with grief and crime: Acceptance (TV Episode 1999) - IMDb
"The Sopranos" Denial, Anger, Acceptance (TV Episode 1999) - IMDb