2x06 No Exit

When Ellen will not allow Jo to investigate mysterious disappearances of blond women in an apartment building, Sam and Dean take the case and head to Philadelphia, Pennsylvania. However, Jo secretly follows them and offers to help. They find ectoplasm in the latest victim's apartment and realize that a ghost is behind the kidnappings. Jo's extensive research shows that America's first serial killer, H. H. Holmes (Stephen Aberle), had been executed and buried on the location where the apartment building was later built. Another woman soon vanishes, so the three rush to find a way to save her. Jo is captured by the spirit. The brothers find the ghost's lair in the sewer system under the building and free Jo and the other woman. They then trap the spirit within a ring of salt—a deterrent of ghosts—and seal the chamber's entrance with concrete. After Jo is reunited with her mother, an angry Ellen reveals that Jo's father died while on a hunt with John Winchester.