Which episode is it where Jeff has a friend
stay over and they stay up all night and watch a
scary movie? The boy says the next day his conscience
bothers him.

I believe that was one of the episodes with David (Charles Herbert) from the military academy. He and Jeff stay up watching a gangster show and eat a whole cake while the Stones are out...

Just checked listings - it's called "Boys Will be Boys" Season 1 Ep 24