"Heart of Gold" - not the best episode, even though the shooting is entertaining and the relationship between Mal and Inara moves forward. It's extremely Wild Westy, and the futuristic elements don't really gel terribly well (the "check batteries" moment did make me laugh, though).
There's a bit of dialogue that struck me as interesting. Nandi, the madame of the brothel that they're defending, describes the villain as deliberately holding the planet back, "playing cowboys" and making it like a Wild West theme park. I thought this was surprisingly self-aware: one of the "rules" of Space Captain Smith was that nobody ever pointed out that the ant-people were like Nazis, which made the setup feel slightly more solid, somehow. Does that mean that someone might notice that one of the villains is holding an AK47 that makes a laser gun sound? It's not breaking the 4th wall, but it seems oddly close.
There's also two interesting articles to be written about feminism and gun ownership (and USA-type libertarianism) in Firefly. I'm not the person to write them and I doubt this is really the place to discuss it.
I think what weakens this episode, and what "The Message" lacked, is a sort of cartoonyness. The Message works for me because it's not really the story of a bad man but a weak one, the sort of person who everyone meets at some point. The villain of Heart of Gold is a raging nutter, and that's that. Obviously, Firefly was always going to be quite a broadly-drawn show (it's a space adventure with cowboy bits, after all!) but I think it works better when there's a bit of nuance. Even something small, like the relationship between Saffron and her husband in "Trash" really helps.