The One With Phoebe's Dad - S2-E9
Corrected entry: After Ross breaks the radiator in the women's apartment, it gets so hot in there for their Christmas party that all the attendees strip down, some to their underwear. However, when Rachel answers the door to let a couple guests in, her nipples are erect, which would indicate the temperature inside is cold. (00:15:16)
Correction: As most women - or those who spend time around women - could tell you, there's more than one reason a woman's nipples might be erect.