I've been watching Spike TV's broadcasts of Highlander lately, and have a question about a show I saw the other night. I think it's from season 1 (Tessa still alive...she died at end of season 1, right?)

The name of the episode was "The Sea Witch" and it involved Richie getting mixed up with some chick who had a drug dealer's goons chasing her for some money and drugs she had. The dealer turned out to be an immortal that McLeod knew from Russia during Stalin's era.

At one point the henchmen attacked Richie and the chick, and Richie said something like "Oh great, if these guys kill me, Mac is gonna kill me all over again."

I thought Richie had no idea that he was an immortal (or pre-immortal at this point) until he actually got killed for the first time (when Tessa was killed also) Or was this just some lame thing for him to say to allude to his future immortality?

You're right, the writers never alluded to the fact that Richie knew he was immortal though they hinted to the audience in the very first episode.