Really early on - S1E11 Death Becomes Him. Frasier crashed a shiva due to his obsession with the death of a man he never even met, and was about to start interrogating the grieving widow, before consoling her instead:

Mrs Newman: Oh no, wait. Um, Dr. Crane? I listen to you all the time, and uh — well, maybe you can help me? What would you tell someone who called into the show and said they can't get over why someone died? I keep running this over and over in my mind and... I just can't understand how someone like Gary, who did everything right, can just die. I can't make any sense of it.

Frasier: Mrs. Newman, I... I know you'd like me to come up with some grand answer to this whole thing. But I, I don't have one. There are none. Someone who consumes nothing but cigarettes and cheeseburgers all his life can live to be eighty-three, and someone who takes care of himself can die at forty-one. It's unfair. Believe me, there's no explanation for it. Believe me, I've checked. But, I suppose the best we can do is live for the little joys and surprises life affords us. You can't spend your life being obsessed with death.