"Bloody Mary" is the first episode during Supernatural's
first season to show significant character development for Sam. The pilot introduces Sam as the reluctant son drawn back into the life he eschewed by familial duty and loss; "Wendigo" shows Sam's grudging acceptance of this life, at least temporarily, as he seeks revenge for Jessica's death. The next two episodes, however, in typical "filler" fashion, do little to advance Sam's characterization (and arguably, Dean's as well, although he is given some development in "Dead in the Water"). It isn't until the fifth episode that Sam's inner workings begin to be exposed.
One area of particular focus in "Bloody Mary" is the myriad of roles in which Sam places himself with ease. One role that Sam plays particularly well is that of diplomat, as has been seen in previous episodes as well. Unlike Dean, who often comes across as agressive, confrontational, or bumbling, Sam is a master of people skills. As evidenced by his interaction with the morgue attendant, Donna and her friends at the wake for her father, and Charlie when she realizes Bloody Mary is real, Sam shows his adeptness at reading both people and situations in a way that allows him to interact with others and get what he wants or needs from them. In keeping with that skill, Sam also wears the hats of confidant and comforter. When Charlie actually sees Bloody Mary and calls Sam and Dean for help, Sam offers a calming shoulder on which to cry, as well as a non-judgmental ear in which to confide. To be clear, Dean also offers these things, but again, this is the area in which Sam excels.
When Sam and Dean attempt to stop Bloody Mary, Sam falls into the roles of researcher and hunter, both of which are ingrained in him from childhood, and which become increasingly familiar to him as he picks up the threads of his old life (although his research skills are also surely enhanced by his college experience). Of all of the roles that he plays, these are probably the ones with which Sam is probably least comfortable. He's spent his adult life trying to escape these roles, so to have to reassume them must surely be vexing to him, even as his training reasserts itself and he excels at them.
Finally, Sam plays the roles of both punisher and pardoner in this episode. His obvious guilt over what he sees as his involvement in Jessica's death causes him to offer himself as the bait for Bloody Mary. While this is partially due to the fact that he does, indeed, have something that will effectively lure Bloody Mary to them so they can destroy her, this is also the beginning of Sam's self-flagellation for something he feels is his fault. However, when he and Dean part ways with Charlie, he encourages her not to blame herself for her boyfriend's suicide. Although he can't forgive himself, he's able to grant absolution to someone else in a similar situation.
Sam's relationships are another area in which this episode provides additional character development for Sam. Jessica and Dean are, arguably, the two people that Sam most loves in the world (at this point in the series, Sam's relationship with John is too ambiguous to be analyzed). He shows obvious loyalty to Jessica in his quest to avenge her death, and loyalty to Dean when he tells him he would die for him. However, Sam trusts neither Jessica nor Dean fully. Canon tells us that he never told Jessica about his past, the demon that killed his mother, or the dreams he was having about her dying. Likewise, he refuses to tell Dean about the dreams on at least two different occasions: on the way to the mirror shop when he offers himself as bait, and the next day when he tells Dean there are some things he needs to keep to himself. He also doesn't tell Dean that he "sees" Jessica as they drive out of town.
This lack of trust from Sam demonstrates different things. His decision to keep the details of his childhood from Jessica is testament to his deep-seated desire for a "normal" life. One would assume that his decision to keep his dreams from Jessica was an extension of that...canon doesn't show that Sam had any reason to believe that these were anything other than nightmares. Although Sam surely feared Jessica's reaction should he share his past with her, it seems that his need to maintain normalcy was the driving factor in his decision.
Sam's decision to keep the dreams from Dean also seems to speak more to Sam's desire for a normal life than it does to their relationship or an actual distrust of Dean's reaction. Dean, being intimately familiar with paranormal activity, likely wouldn't doubt Sam if he confessed that he was having psychic dreams. So why keep this information from Dean? In this case, while there is surely some element of Sam and Dean still rebuilding their relationship after so many years apart, Sam's motivation for keeping his secret is probably strongly rooted in his own fears about the dreams. Communicating them out loud, particularly to someone that would take little to be convinced of their authenticity, would make them real. Sam isn't ready to give up his dream of "normal," and he's in denial over the implications his powers could have on that.
Finally, "Bloody Mary" is significant in that it's the first episode that shows Sam's potential abilities. Although the extent of these abilities won't be revealed until later, the audience is given the first glimpse into what makes Sam somewhat abnormal. His dreams of Jessica dying in a fire on the ceiling, coupled with his decision to keep her unaware of his past, result in a crippling since of guilt for Sam. He feels directly responsible for Jessica's death; whether or not Sam is ultimately responsible or could have done anything if he HAD told her about his past and the dreams is irrelevant to Sam. He sees his involvement in Jessica's death in shades of black and white, much as he told Dean that Bloody Mary would see Charlie's involvement in her boyfriend's suicide. Sam has the ability to recognize the suicide as beyond Charlie's control, as something for which she shouldn't feel guilty, and he's able to impart those feelings to her. He can't, however, offer himself the same level of pardon, because Sam holds himself to a different moral standard than he does anyone else.
Because Sam feels responsible for Jessica's death, he's more motivated to find her killer than he might have been had he not felt involved in her death. Sam isn't just seeking revenge for her murder; he's seeking atonement. This is the first indication that Sam may be willing to die for the cause. He may not be able to allay his guilt just by killing the demon that killed Jessica; Sam's (self-imposed) level of responsibility make him unlikely to feel that he's absolved himself of his involvement without making some sacrifice. Whether or not the sacrifice of his "normal" life will be enough remains to be seen.