Cold Oak is a deserted town surrounded by miles of forest located in South Dakota. Bobby recognized the town by the description of the bell that Dean gave him. According to Sam, the town was so haunted that all the inhabitants fled.
In 2007, all the remaining Special Children, including Sam, are transported to Cold Oak for a deadly competition. Among those transported there along with Sam are: Andy Gallagher, Jake Talley and Lily. It is more likely that Ava Wilson had been present there for quite some time as she is said to have laid waste to those before them.
Lily, Andy, Ava and Sam were killed each after the other. However, Sam is resurrected after Dean makes a deal with a Crossroad Demon. Jake is the one to get out of Cold Oak on Azazel's mission but Sam and Dean soon catch up with him in the cemetery in Wyoming where Sam kills him in cold blood and Dean fires the last bullet from the Colt at Azazel.