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A cold opening is a term that describes a show that goes straight to content rather than starting with the opening credits. Some shows may have previouslies before the cold open. The cold opening is usually referred to as a teaser shot.
It is also commonly used to describe the beginning of a show that has nothing to do with the rest of the episode. Family Guy and Futurama are recent examples. The most famous cold opening is probably Saturday Night Live's. The show usually opens with a sketch written that day concerning current events, and leads into the opening credits with the line, "Live from New York, it's Saturday Night!"