Burns left his bear behind when, as a little child, he was sent to live with a banker, ala Citizen Kane. Bobo would go through several owners including aviator Charles Lindbergh and dictator Adolf Hitler before ending up in the ocean and being encased in a block of ice. The ice with him in it was sent to Apu's Kwik-E-Mart in Springfield. Bart Simpson bought the block of ice and let his baby sister Maggie have the bear.
Burns discovered Maggie had the bear and went through incredible feats to get it back, including cutting off the beer supply to Springfield in order to get Homer Simpson to give it up. Finally, Maggie, in an act of pity, lets the desperate Burns have the bear.