Unlike most of the demons, spirits, and creatures that the Winchester brothers hunt, the ghost in this episode is based on a real-life historical figure: the serial killer Herman Webster Mudgett (1861-1896), b.k.a. Dr. Henry Howard Holmes. Many of the details mentioned by the Winchesters about H. H. Holmes are historically true: he did confess to 27 murders (9 confirmed); he did build a so-called "Murder Castle" in Chicago so he would be able to carry out his crimes in secret; there is evidence that he used chloroform in at least some of his crimes; he was executed by hanging in Philadelphia; and, at his request, he was buried in concrete so no one would be able to molest his corpse.
Handwriting samples from Holmes and Jack the Ripper's "From Hell" letter at least 97% matched. The reason these murders are attributed to Holmes is due to at least a few of them being killed by mutilation of their organs. It is thought only a surgically trained doctor could pull this off. Mysteriously, these murders took place during a blind spot in Holmes's recorded history. This has led many, including some of Holmes's descendants, to believe That H. H. Holmes is, indeed, Jack the Ripper. If this is true, Elizabeth Stride would have been another victim of his.
Approximately 14:45 minutes into the episode Dean is seen sleeping on the chair - in the apartment they are renting with Jo and Sam, while on the hunt. The pose he is lying in, is almost identical to the one Marty McFly (Back to The Future Trilogy) is seen sleeping in on more than few occasions- making it a nod to the movies (something the show will do more often during its future years).
When they find ectoplasm in the wall socket, Dean says, "Well, Sam, I think I know what we're dealing with here. It's the Stay-Puft Marshmallow Man." The Stay-Puff Marshmallow Man is the 10-story tall gooey earthly embodiment of Gozer the Destructor as envisioned by Ray Stantz in Ghostbusters (1984).
In 2003, Historical Author: Erik Larson wrote - The Devil in the White City: Murder, Magic, and Madness at the Fair That Changed America. It is a factual account of the 1893 World's Fair and the cunning serial killer (H.H. Holmes) who used the Fair & his charismatic charm to lure his victims to their deaths in his 'World's Fair Motel' which secretly housed both a gas chamber & crematorium. A creepy good read for those who like Historical Mysteries that keep you in suspense even though you know the outcome.
The song playing as they travel from The Roadhouse to Philly is "Surrender" by Cheap Trick, a band whom made their home on the 900 Block of Pine Street in Philadelphia during the 1970's before they made it big.
The trivia items below may give away important plot points.
"No Exit" takes place in Philadelphia as did the actual trial of H. H. Holmes and subsequent burial under concrete was also true as H. H. Holmes didn't want his body dug up and defiled after his execution by hanging.