The Good Son - S1-E1
Corrected entry: In the scene when Frasier and Martin are deciding where Daphne will stay, Martin mentions the study across the hall from his bedroom. Daphne eventually does stay in the study, which becomes her bedroom. However, in later episodes, Martin's bedroom is near Frasier's down the hall with the coat rack and Daphne's is near the piano. There is no room across from Martin's.
Correction: He could have just moved rooms. When they have this discussion, Frasier says that he can't give up his study, so there may be another room down the hall to his room that he "can't give up" but does in later seasons.
Captain Defenestrator