The truth of the matter is that these boys film in Vancouver – mostly outside – in the winter. Vancouver might be one of the warmest spots in Canada, but it’s colder than Texas. This means that sometimes Sam has to wear thermal undershirts, like this grey long-sleeved one.
In Born Under a Bad Sign (2x14), Sam wears it from when he changes out of the bloodstained shirt until the end of the episode.
In Tall Tales (2x15), Sam wears it when he and Dean go after the trickster.
In Roadkill (2x16), Sam wears it for the whole night spent outside with Molly.
In Mystery Spot (3x11), Sam wears this shirt during the 6 months period where Dean is dead. Specifically, we see him wearing it as he cleans guns and eats by himself.