In season 2, Sam and Dean were arrested while on a hunt (The Usual Suspects S2 E7), but they saved Diana, and were set free. After that, while dealing with a shape-shifter at a bank robbery (Nightshifter), an FBI agent known as Victor Henriksen caught them, and tried to capture them. They managed to escape by posing as SWAT officers. Later on in the second season, Sam and Dean went undercover in a prison (Folsom Prison Blues), where a ghost was killing the inmates. They managed to escape later on.