The Meaning of Episode Titles

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Season 1

Overall Season 1 of Supernatural has very perfunctionary episode titles - Wendigo, Dead in the Water, Phantom Traveler, Skin, Hookman, Bugs, Home, Asylum, Scarecrow, Faith, Shadows, Dead Man's Blood, - they all indicate the nature of the Monster of the Week that's defeated.

Some exceptions during Season 1:

1.13 Route 666

Route 666 is the 6th spur of the famous "motherline" Route 66, and the last remaining stretch of road was renamed into Route 491 in 2003. Route 666 has also been called "The Devil's Highway"(Source) It wouldn't be the Devil's Highway without a number of strange incidents.

1.15 The Benders

The Benders were a family of 19th century mass murderers from Kansas. (Source and Further Reading)

1.18 Something Wicked

The title refers to a line of Shakespeare's Macbeth: "By the pricking of my thumbs, something wicked this way comes". More on the phrase at Wikipedia.

"Something Wicked This Way Comes" is also the title of a Ray Bradbury novel in which two teenage boys encounter Mr. Dark, the owner of a mysterious carnival, who has offered secret desires to several people, only to bind them in service to the carnival.

One of the chapters in the episode Something Wicked on the Season 1 DVD is called "...this way comes."

Apart from this, it's only in Season 2, that the episode titles start referring to songs or movies, thus becoming self-referential.

Season 2

2.01 In My Time Of Dying

In My Time of Dying is a song by Dean's favourite band "Led Zeppelin" (it first appears on "Led Zeppelin II"), but the song was originally written much earlier, first recorded by blues singer "Blind Willie Johnson" in the 1920s. For a history of the song see here.

   * 2.01 In My Time Of Dying
   * 2.02 Everybody Loves a Clown
   * 2.03 Bloodlust
   * 2.04 Children Shouldn't Play With Dead Things
   * 2.05 Simon Said
   * 2.06 No Exit
   * 2.07 The Usual Suspects
   * 2.08 Crossroad Blues
   * 2.09 Croatoan
   * 2.10 Hunted
   * 2.11 Playthings
   * 2.12 Nightshifter
   * 2.13 Houses of the Holy
   * 2.14 Born Under a Bad Sign
   * 2.15 Tall Tales
   * 2.16 Roadkill
   * 2.17 Heart
   * 2.18 Hollywood Babylon
   * 2.19 Folsom Prison Blues
   * 2.20 What Is and What Should Never Be
   * 2.21 All Hell Breaks Loose: Part One
   * 2.22 All Hell Breaks Loose: Part Two