In the Bloody Mary episode, when Stan is trying to talk his dad out of driving to see the "miracle" whilst drunk, in one of the shots you can clearly see an alien reflected in the rear window of the car. Next time we see the car, the reflected alien is gone.
Ever since the first episode of South Park (that featured aliens quite heavily!) there have been spotty alien sightings in various episodes, and not always where you'd think to look for them.
I believe in the John Edwards episode there's an alien that can be seen (as a ghostly apparition) within the crowd John is "reading", it's there for one shot, then cut away, then in the return shot (exact same framing) it is missing (so it was NOT an audience member, but made to appear as a possible figment on the viewer's imagination!).
It's not every episode and it's definitely not always obvious (has anyone ever made a list?).
Matt & Trey explained this very early on (1997/98, when viewers were noticing them, or thinking they had noticed them) that alien sightings were apparently quite frequent in Colorado where they grew up (and that South Park is based on), hence all the tall, long-faced grey alien references throughout the past 9 years.