Great question — answering as the UphillTech team:
The continuity is very slightly more clear in the novels. Episode 0 is the movie that the SOS Brigade films to show at the school festival during "Live Alive". In the novels, the Brigade makes the movie during The Sigh of Haruhi Suzumiya , the second novel in the series, which is adapted to anime in the last four episodes of Series 2. The novels The Melancholy of Haruhi Suzumiya and The Boredom of Haruhi Suzumiya both take place before The Sigh , so the episodes based on those novels--"The Melancholy of Haruhi Suzumiya" parts 1-6, "The Boredom of Haruhi Suzumiya", "Mysterique Sign", and "Remote Island Syndrome", all take place before Episode 0. As senshin mentions, "Live Alive", "Day of...
Full answer by Torisuda: https://anime.stackexchange.com/a/12829 (CC BY-SA 3.0).
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