Note: these are in no order other than that in which they came to mind.
1. How old-school it felt: the griminess of the bar and the wrestling venue, Sam and Dean reduced to bumbling youth in the face of the people they idolized as kids, demons being truly nasty, the predominance of rock in the incidental music--and even though it didn't have the nearly black-and-white effect of the early seasons, the episode as a whole felt dark, like all the indoor scenes had some light burned out or something. Like in the olden days when nobody turned the lights on in the libraries or police stations.
2. Even though this was a rare tripped-over-it case, it's one they probably would have twigged to under less crazy circumstances. How they wound up mixed up in it served to underline how crappy their current situation is: they aren't catching their usual cases because they're distracted, and even when they try for a shot at fun and childhood nostalgia, it winds up turning bloody and ruining said nostalgia. (side note: I hold a grudge against detectives that just happen to stumble across mysteries wherever they go--especially if nobody notices what's going on and stops inviting the detective to parties.)
3. The aftermath of Dean spiking everyone's tequila with holy water. It's funny, it was a smart move on his part and I love how Sam interacts with him, and it's one of those scenes that I could just watch on replay a dozen times in a row. (And for those people I saw complaining about Sam and Dean getting thrown around so easily: Dean's got one whopper of a hangover and they're both running on a lack of sleep.)
4. Misha completely sold me on his portrayal of Lucifer in this episode. Absolutely spot-on, to the point I took it completely for granted that he was Lucifer and not Cas and didn't notice until after the episode. (Also, I adored the music cue in his opening scene: the kind you'd usually get on a "let's pull together" montage scene in an underdog movie. Awesome and hilarious.)
5. All of the demonic back-stabbing. I wonder if we're on the verge of Hell falling back into chaos again, as it seemed to be in the early seasons of the show: less of a business, more of a semi-feudal free-for-all.
6. The parallels/contrasts between the two story threads: Sam & Dean/Lucifer coming up with nada through research; demonic delegation; double-crossing and back-stabbing (literally, in one case); and in the end a sense of futility. Sam and Dean don't manage to save anyone, Lucifer's weapon gets used up before he can get his hands on it, and Crowley's used up his one shot at getting out from under Lucifer's control.
7. Harley's reaction when he finds out there are demons. I'd half-wanted him to get his comeuppance until that point--and then I found myself frantically hoping Sam and Dean would get to him in time.
8. Cross-road demon! And hell hounds! Perfectly suited to the venue--circuit wrestling would be the perfect hunting ground for deals, and I wonder if that's what caught John's interest in the first place.
9. More stuff about John and the boys' childhood! And again we have the theme of John being a crappy parent but trying. (It's interesting how far most fanon diverges from canon on the subject of John and the kind of childhood he gave his sons; to the point where they're almost unrecognizable as the same character.) I love how the show in general integrates the brothers' past into their present--not a lot of plot stuff hinges on it (as it would in most of the other shows I've watched), but it informs and colors how they react to things--which is much more realistic and intriguing.
10. Crowley! I actually almost cheered for him--and then I remembered last week's episode, and the one-shot deal on the previously-used Hand of God, and felt bad on his behalf. Whatever happens next for him probably isn't going to be pretty. (Side note: I wonder if the Hands of God getting drained by a single use, unlike the angelic weapons we've seen previously (staff of Moses, etc.) are because God is removing himself and other large players from the human world--and has been using Sam/Dean/Cas to clean house.)
11. Dean's explanation at the beginning for why they should go to the funeral, and Sam's acceptance. I just absolutely adore where they are at the moment. So much support for each other! So much honesty! Makes me feel all wibbly-wobbly with delight.