While Supernatural is listed as a horror/drama show, the scary is usually turned down. Season one was actually pretty good about avoiding this in retrospect and was probably the scariest out of all the seasons (Season Six looks like it's shaping up to be a contender so far though). It's where my pick comes from though I want to give an honorable mention to 'Family Remains', as that poor girl is so frightening I had trouble watching it a second time. It's almost sickeningly ironic that one of the most frightening episodes has nothing actually paranormal in it; the real horrors are just people.
Bloody Mary wins out in the end though.
Aside from the creepy look of the girl, this episode changes the lore a bit and has Mary be able to get through any reflective surface, at any time of the day. Please take ten seconds of your life and look around to realize how easy it'd be for her to get to you. Have fun sleeping.