'Burn Notice': Cobra revealed in 'Madison Blues'
It turns out Cobra was the John Doe, a.k.a. Jeremiah Cassar. They trace his home address and head over to check it out, but two things get in the way of that project: a nosy neighbor from Hell and a desperate phone call from Michael.
But let's back up. Sam's got a friend named Josh (special guest Frank Whalley!) who runs a charity helping children of dead vets, but the charity's money has all been ripped off by a low-rent Bernie Madoff named Nick Madoffison, and Josh has gone over there with a gun to get it back. Which means that when Michael and Sam follow him, they essentially walk into a hostage situation.