Bart receives threatening letters written in blood and becomes paranoid. Meanwhile, Sideshow Bob is released from prison. The Simpsons encounter him at a movie theatre when Homer tries to tell him to stop laughing so loud, but becomes distracted by the movie and laughs even harder than Bob. Bob turns around to tell him to stop laughing, leading to the shocked reaction from Bart and Lisa ("Aah! Sideshow Bob!"). He reveals that it was him that wrote the death threats. Marge goes to the police and Chief Wiggum places them in the Witness Relocation Program. They are given a convertible, their surname is changed to Thompson, and they are relocated to Terror Lake. Little do they know that Sideshow Bob is in the underside of their car. On the way, Bob is affected by bad karma. First the car goes over many speed bumps that hit him in the head. Homer pours his coffee out the window because it is too hot, and then gives into an impulse to drive through a cactus field, asking the rest of the family first. Bart and Lisa say yes and Bob yells, "No!"; Homer drives through the cacti because the vote was two against one. When the Thompsons reach Terror Lake, a spoof of the opening credits is played, and the family goes to check out their new houseboat. Bob comes out of the boot, only to step on and get hit in the face by nine rakes. On the way to his new school (which is never mentioned), Bart hears Bob's voice and sees him climb out from under a car. Bob pretends that he is not up to anything, saying, "Surely there's no harm in lying in the middle of a busy street." A parade immediately comes by and Bob is trampled over by the orchestra and several elephants. Bart goes home and tells Marge and Homer that he saw Bob, but they take no worry of it.
When Bart goes to bed, his door opens and wakes him up. Bart sees a hand brandishing a kitchen knife and sits directly up. Homer rushes in, screaming, "BART-DO-YOU-WANT-SOME-BROWNIES-BEFORE-YOU-GO-TO-BED?!" Bart asks him not to "come into his room screaming and brandishing a butcher knife." Homer apologizes and leaves... and then bursts through his door again, revving a chainsaw and wearing a hockey mask, screaming, "BART-DO-YOU-WANNA-SEE-MY-NEW-CHAINSAW-AND-HOCKEY-MASK?!" Bart screams and Homer realizes he doesn't know what he was thinking and leaves.
Bob sneaks onboard the family's houseboat and cuts the line with a machete and the boat floats off into the swamp. After tying up the rest of the family, he goes to murder Bart in his room. Bart escapes and looks for a way to get off the boat, but alligators and electric eels block him. Bob catches up with Bart and offers him a last request. Bart notices a sign that says that Springfield is 15 miles away, and asks Bob to sing the entire score of the H.M.S. Pinafore. Bob gives an excellent performance, even changing his outfits to the opera's costumes, and Bart applauds him. Bob raises his machete upon finishing, but before he can finish Bart off, the boat hits a rock and the jolt knocks them away from each other. The police are fortunately nearby and arrest Bob. After Bob is sent back to jail again, the Simpsons return to Evergreen Terrace and everything is back to normal. Well, aside from Grampa transforming into Grandma because of not being able to take his pills, which he had left with them for some reason.
In 2003, Entertainment Weekly named this the third greatest episode in the history of the show. It won Outstanding Dramatic Score in a Series-1994. Al Jean described Cape Feare as his favorite Sideshow Bob episode and his favorite Simpsons episode.