Kang and Kodos first appear in Hungry are the Damned.  There they abduct Homer and his family to bring them to a feast on Rigel 4, but when Lisa turns out to be too sceptic, they drop them back on earth.  Throughout the years they've been regulars on the Treehouse of Horror shows, it is hard to imagine a Treehouse of Horror without them!  They don't always play a big role, sometimes they just come in to plug a comment or something, but on other occasions it turns out one of them fathered Maggie, or they take over the presidency of America, or even the world as they take advantage of the world peace Lisa managed to establish.
In the first episode they appear, there is a third alien though, but I'm not quite sure what happened to it.  I suppose after a while he just stayed behind on Rigel 4 in stead of coming along on their missions to earth.

On one occasion the aliens have appeared in a 'normal' Simpsons Episode, namely Gump Roast (Season 13).  There they planned to attack the earth, because they couldn’t find nothing pure or good about it, but Maggie, with her pure infant mind, was able to show them that there is hope for the world yet.

Interesting little fact:  Kang is probably male (as he fathered Maggie), and Kodos is female! (maybe a little romance between the two in the future, who knows)