Beginning in Season 12, Sam wears a brown jacket, with dark brown collar, whenever someone is hurt, dying or grieving. Sometimes known as Sam's Sadness jacket or Jacket of Doom by fandom.
He wears the jacket in 12.12 Stuck in the Middle (With You) where Castiel gets stabbed with the Lance of Michael and nearly dies. The jacket is worn in 12.19 The Future, when Kelly Kline is captured by Dagon and attempts suicide, and later in 12.23 All Along the Watchtower when Kelly dies giving birth to Jack Kline , Mary is sent into the Apocalypse World and Castiel is killed by Lucifer.
The jacket makes an appearance in 13.01 Lost and Found as the season continues directly after the events of Season 12, with Castiel dead, and Jack going missing. In 13.08 The Scorpion and the Frog, Jack is missing again, and Sam expresses to Dean that he is not okay.
In Season 14 Dean is possessed by Michael and the jacket (as well as Sam's grief beard) make an appearance. Sam is upset about losing Dean and trying to find a way to save him from Michael in 14.01 Stranger in a Strange Land. When Jack dies in 14.08 Byzantium, we see Sam leaving the Bunker with his jacket on. He continues to wear the jacket in 14.11 Damaged Goods and is concerned when Dean leaves to spend time with Mary and to (secretly) build the Ma'lak Box. Sam is seen wearing the jacket when Dean finally tells him about his plan for the box, and Sam is reluctant to accept the plan but agrees to it.
At the start of Season 15, Jack has been killed by God/Chuck, Mary has been dead for one week (see Timeline (Season 14). Sam kills Rowena to save the world and is wearing the jacket in 15.03 The Rupture. The jacket makes an appearance in 15.11 The Gamblers when Sam and Dean travel to Alaska to restore their luck. In this episode, there is not the grief or a death that usually overshadows the wearing of this jacket, but the becoming 'hereos' again and the return of Jack is emotional.