Father's Day: Well, of course in the scene where Aunt Bedelia hits Nathan in the head. It's also on the table by Henry when he uses it.
The Lonesome Death of Jordy Varrill: When Jordy goes to the professor/doctor's office, the ashtray is located on the professor's desk. There is a lot of other junk on the desk... look closely.
Something To Tide You Over: When Richard is sitting on his bed watching the video tape, the ashtray is located on the end table (next to the bed).
The Crate: When Henry sits down at his desk to write the note to Wilma, the ashtray is on his desk.
They're Creeping Up On You: When Mr.Pratt is washing his hands he uses the ashtray as a soap dish.