Oh come on, there's no room for disgust of the abject in the Winchester family! John totally made them wear monster pelts in the winter when he couldn't afford coats. They were living in a cave in the hills that time anyway, it's not like anyone could *see* them and thus make Sam even more mortified. (Dean liked lounging around in his wearing nothing else, armed with nothing but a martini glass. Sam agreed that it would be a good way to make that Wendigo laugh itself to death.)