I was watching The Melancholy of Haruhi Suzumiya, and the first episode that shows up for season 1 on Crunchyroll is episode 0. Because the show was played totally out of order, I couldn't figure out where it fit chronologically. I know it can't be before episode 1, so where does it fit?
The continuity is very slightly more clear in the novels. Episode 0 is the movie that the SOS Brigade films to show at the school festival during "Live Alive". In the novels, the Brigade makes the movie during The Sigh of Haruhi Suzumiya, the second novel in the series, which is adapted to anime in the last four episodes of Series 2.
The novels The Melancholy of Haruhi Suzumiya and The Boredom of Haruhi Suzumiya both take place before The Sigh, so the episodes based on those novels--"The Melancholy of Haruhi Suzumiya" parts 1-6, "The Boredom of Haruhi Suzumiya", "Mysterique Sign", and "Remote Island Syndrome", all take place before Episode 0. As senshin mentions, "Live Alive", "Day of Sagittarius", and "Someday in the Rain" take place after Episode 0. "The Day of Sagittarius" was in the fifth novel, The Rampage of Haruhi Suzumiya, and "Live Alive" and "The Adventures of Mikuru Asahina Episode 00" (our Episode 0) were in the sixth novel, The Wavering of Haruhi Suzumiya. Both of these novels are random collections of shorts that cover different time periods.
Episode 0 is technically the last episode in the season. The chronological order of the episodes can be found here:
Under the E tab, you can order it by descending or ascending. Using Crunchyroll's ordering, episode 2 should be the first episode to watch.