The demon Crowley reveals something important to Sam and Dean on the episode "The Devil You Know." He tells them how he's been able to track Sam and Dean.
Sam: What if you guys lead the devil to the edge, and I jump in? Bobby: Sam... Sam: It'll be just like when you turned the knife around on yourself. One action, just one leap. Bobby: Are you idgits trying to kill me? We just got done talking your brother off the ledge, now you're lining up to say yes... This isn't an option, Sam.
