The Meaning of Episode Titles

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Season 1

Overall Season 1 of Supernatural has very simple, self-explanatory 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 "Physical Graffiti (19759"), 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.

2.02 Everybody Loves a Clown

"Everybody Loves a Clown" is a song by Gary Lewis & The Playboys, recorded in the 1960s.

2.03 Bloodlust

Bloodlust! is a 1961 movie, in which a crazed hunter kidnaps people and hunts them for sports on his estate. While this sounds more like The Benders, the "crazed hunter" most certainly is Gordon Walker.

2.04 Children Shouldn't Play With Dead Things

Children Shouldn't Play With Dead Things is a 1972 low-budget zombie movie by Bob Clarke.

2.05 Simon Said

Simon Says is a game for children, in which one of the players becomes "Simon", and the other players must do as Simon says. "Simon" has to start each sentence with "Simon says...".

Simon Says is also a 2006 horror film.

2.06 No Exit

No Exit is a play by French existentialist writer Jean-Paul Satre, in which 3 people are locked into a room (which might be hell) together. While they wait to eventually be freed of their unwanted prison, a complex dynamic starts to develop between the three of them...

2.07 The Usual Suspects

The Usual Suspects is a 1995 movie by Bryan Singer, in which a con-man, interrogated by the police, tells a convuluted story of events that lead up to a massacre and fire at the docks. Using flashbacks, he tries to explain how he and his fellow partners-in-crime were on the boat that was involved, but not everything is as it seems. The episode draws heavily from the style of the film, using flashback and narration as well, as Sam and Dean tell their story.