Devil's Gate in Wyoming
In 2.22 All Hell Breaks Loose: Part Two, the Winchesters, Bobby Singer and Ellen Harvelle discover that Samuel Colt built a huge devil's trap that is 100 miles across in southern Wyoming. There is a church at each point and the sides of the pentacle are made of iron railroad lines. At the center, in an old cowboy cemetery, is a devil's gate – a literal door to Hell.
The Yellow-Eyed Demon plans to open the gate and use the released demons from Hell as soldiers. As the devil's trap prevents the Yellow-Eyed Demon from getting to the Devil's Gate, he used Jake Talley to cross into it and unlock the Gate. He does this using the Colt as the key. When the door is open the blast of energy lights up the surrounding railways and blows up at least one of the churches, which significantly weakens the devils trap and allows the Yellow-Eyed Demon to enter. Hundreds of beings, including demons and spirits, escape from Hell before Bobby and Ellen manage to close the gate. John Winchester is among those to escape through the gate, and he helps Dean kill the Yellow-Eyed Demon by pulling the demon out of his meatsuit temporarily. This gives Dean time to shoot him with the Colt. John then disappears, but not before sharing an emotional moment with his sons.
In 3.01 The Magnificent Seven, it is learned that the night the gate was opened, strange dark clouds appeared over 17 cities. It is also revealed by Isaac that Sam and Dean are being blamed for the Devil's Gate being opened and the demons escaping.
In the audio commentary with Eric Kripke for episode 4.22 Lucifer Rising Eric mentioned the reason Azazel needed the gate opened so badly was during his encounter with Lucifer in the '70s, who was speaking through a dead nun, instructed Azazel that Lilith would be needed to break the 66 Seals which hold him captive in his cage. Azazel responded "she's trapped deep in the pit" so the Devil's Gate had to be opened for Lilith to escape Hell and return to Earth and break the seals and most importantly be the last and final seal.
The Real Devil's Gate in Wyoming
There is a rock formation called the Devil's Gate in Wyoming. It is a gorge formed by the Sweetwater River and was a landmark for pioneers following the Mormon trail and the Oregon Trail.