Until he was clued into the little game that the Winchester men played, he laughed in the face of death. In fact, up until his first kill when he saw the light fade from the eyes of the werewolf he had shot point-blank in the heart with a silver bullet, he was still laughing. It's always easy to keep the joke up until you're face-to-face with the one thing that truly scares you to your core.
As the werewolf died, Sammy lost another chunk of his innocence, his green eyes blurring with tears. Sure, the beast had killed several people and turned at least two others they'd have to hunt down, but now there was literally blood on his hands – the game had become an all too painful reality.
A few weeks later, Sam almost lost Dean to a vampire with a taste for children. His older brother was weak and pale, trembling violently in his sibling's arms. He hates to admit to it, but he cried again, terrified that Dean – his hero, his protector – would bite the big one, and leave him all alone in the world. When those hazel eyes fluttered and closed, Sam was sure heaven had claimed him and nothing more could be done. By some miracle, Dean woke up a few hours later, coughing, sputtering and asking for a bowl of Fruit Loops like nothing had happened.
From that day on, death seemed to lurk behind every corner, just waiting for a chance to claim another victim right from under Sam's nose. Even after he left the world of hunting to try and gain some sense of normalcy by attending Stanford, he could still feel that dark presence, just out of sight. The city had its share of deaths during his four years there: car accidents, fires, freak construction incidents involving heavy machinery or falling materials, murders, suicides – the whole nine yards. Normal occurrences really, yet Sam couldn't help but feel he had brought the reaper with him when he tried to run from the life he was destined for.
Then Jess died, given an ending suited for a lady tied to Sam Winchester by Yellow-Eyes. Sam knew he had to move on, aware that the wraith would follow him wherever he went. Those touched by death at an early age, even indirectly, were bound to be stalked until their own demise, whether they wanted to accept it or not.
It wasn't until he experienced a few too many close calls that he realized that his fate wasn't tied to the land of fluffy clouds and golden gates. Deep down, he was thankful, as he knew without Dean by his side for eternity; heaven wasn't going to be enough. It'd never be enough, because his memory would fade as the years turned into centuries, and soon he would question if he even had a brother named Dean, who had stood by his side through thick and thin for oh-so-many years.
Sammy knew it didn't exactly take a rocket scientist to figure out that his older brother was destined for fire and brimstone. He'd pretty much had that drilled into his head once he saw the look of satisfaction on Dean's face when he blew away another creepy crawly of the supernatural variety that heaven didn't have a place for a man like him – a cold-hearted killer with hardly an ounce of guilt.
To Dean, it was a job and cost him nothing. But for Sam… it cost him his soul, and every bit of innocence that he once possessed. He figured in the end, should they both be consumed by corruption and become demons, and then they would bring whole new meaning of "raising hell" to the world.
Either way, Sam wasn't going down without a fight or without Dean by his side; to him, heaven just wasn't enough to face an eternity alone.