Crossroads are where Crossroad Demons appear to make deals. In order to summon a crossroad demon, a hole must be dug directly in the centre of the crossroad, in which a box containing the mortal wishing to deal's photo, graveyard dirt and a bone from a black cat must be buried. Once covered back up, the demon will appear.
These crossroads are usually in the country side. Mostly because there isn't much around and the ground is easy to dig in. Crossroads have appeared in numerous episodes, beginning with season 2.