Starlight Glimmer: The Cutie Re-Mark - Part 2, No Second Prances, Every Little Thing She Does
Sunset Shimmer: Equestria Girls (movie)
Celestia: Lesson Zero
Nightmare Moon: Friendship is Magic - Part 2
Trixie: All Bottled Up
I might be missing an episode of two where Starlight Teleported, but I think I got them all.
@AC97
But still not concrete. None of the other teleports in the series have sounded anything like that, and who knows all the ways Luna can travel. She might have already been on her way when the letter was sent.