Soul
A soul is a person's essence, and what persists after death.
Hell
All demons are formed in Hell by the corruption of a human soul. Lucifer made Lilith into a demon in order to mock God's creation of humanity. While in Hell, Dean eventually broke under Alastair's torture and started torturing souls himself.
Heaven
In Heaven, each soul has it's own version of Heaven where they relive happy memories. Soulmates - which appears to include Sam and Dean - share the same Heaven, according to Ash.5.16 Dark Side Of The Moon.
Castiel has the ability to 'read' a person's soul. Doing this he ascertains that Balthazar, an angel, has bought the soul of a boy. Balthazar admits he sold part of the Staff Of Moses in exchange for the soul, although it is unclear why he wants the soul.6.03 The Third Man
Deals
Souls are first mentioned explicitly in Supernatural in relation to the deals made by Crossroads Demons, where a person agrees to give their soul to the demon in exchange for some benefit when they are alive. Crowley was originally the head Crossroads Demon. The deals are traditionally sealed with a kiss.
John Winchester sold his soul to Azazel in exchange for Dean's life 2.01 In My Time Of Dying, and Dean did the same for Sam.3.16 No Rest For The Wicked
Bobby sells his soul to Crowley to get information on death's whereabouts i order to help stop the Apocalypse. The deal is undone when Bobby with help from Sam and Dean, threatened to destroy Crowley by burning his bones.
See the Crossroads Demon entry for a list of deals made.
Sam's soul
Dean: So where is it?
Castiel: My guess is still in the cage with Michael and Lucifer.
Dean: So is he even still Sam?
Castiel ascertains that the reason Sam is feeling no emotion is that he was resurrected without his soul. 6.07 Family Matters Crowley admits that he pulled Sma out of Lucifer's Cage and that he will return Sam's soul is the Winchester's help him find Purgatory.
Souls in religion and lore=
- The key events in the 1.01 Pilot - the night when Sam is fed Demon Blood by Azazel, and mary dies, and also the night Jessica dies - occur on November the second which is known as All Souls Day.
- Wikipedia entry on souls.