I think Charlie Bradbury said it best in the Supernatural season 8 episode "Pac-Man Fever" when she empathized with Sam over his, "zero luck with the ladies." Throughout the series, all but one of Sam's significant relationship interests have succumbed to a tragic fate at the hands of a supernatural related force, though that relationship also met a sad fate. I have yet to shake my sadness over the death of Sarah Blake last night at the hands of Crowley's witch spell. Sam and Dean met the beautiful, smart and kind Sarah seven years ago on a case of a murderous ghost attached to a painting. Though only a civilian, Sarah was tough and jumped in on the case to help the brothers while simultaneously falling in love with Sam. Their last moment together, before last night, was a passionate kiss.
Sam's first love and fiancée, Jessica was viciously murdered in the same manner as Sam and Dean's mother, Mary, by the Yellow Eyed Demon who sought to make Sam the leader of his evil, psychic-powered army. Amy, a Kitsune, was Sam's childhood love who saved Sam from being murdered by killing her own mother. Sam lets her leave and years later Sam returns the favor by not killing Amy and her son, though she was feeding off of criminals. Dean, however, felt compelled to kill Amy and, without telling Sam, stabbed Amy in the heart and threatened to come back after the boy if he followed in his mother's footsteps of killing. Sam and Dean's relationship was fractured for a while.
Amelia is initially a widow of a soldier killed in Iraq who connects with Sam during Dean's apparent death and time in Purgatory in season 8 as both she and Sam were broken, lonely, and attempting to escape their pasts. However, her husband turns up alive (weird storyline) and she returns to her old life, only to eventually attempt to reunite with Sam, though he chooses a reemerged Dean.
Madison appears in the season 2 episode "Heart" and is a werewolf. As Sam begins falling in love with Madison, the brothers attempt to cure her of her lycanthropy but the attempt fails. Sam and Madison make love, but upon realizing that she would not be cured, Madison decides that she does not want to live as a monster killing innocent people and asks Sam to kill her. Sam is heartbroken and Dean offers to do the task. However, Sam resigns to kill Madison upon her wish. If you don't understand exactly how difficult it is to watch Sam lose his loves, just watch the clip below of Sam's tearful decision to kill Madison. Dean shares in his pain and the scene is simply, heartbreaking.