At the storage unit, Dean identifies Sam and himself as Agents Nicks and McVie. Both Stevie Nicks and Christine McVie are female singers in the band Fleetwood Mac, and John McVie plays bass in the band.
In the storage facility, Sam asks, "D. Webster? What, as in Daniel Webster?" Daniel Webster is the main character in a Stephen Vincent Benet short story -- "The Devil and Daniel Webster" -- about a farmer who sells his soul to the Devil and the lawyer who represents him.
The song Dean is listening to with headphones while laying in bed is "Lonely is the Night" from Billy Squier's 1981 "Don't Say No" album.
Even though Kevin is a ghost he still has a shadow.
This episode interestingly shares its title with Ryan Reynolds' December 2014 movie Captives. Both the movie and this episode are about a person who is held captive.