This is an odd little thing that I thought up last night.
Turns out, angels don't run and they can't run very far or fast. Sam thinks it's hilarious to see Lucifer panting and glaring at him after a run, and hear him complain about getting sweaty and breathing hard.
Once he learned that running was good for clearing his head and making Lucifer miserable at the same time, he started running regularly, rain or shine. He'd run for as long as he could until he felt like he couldn't take anymore and then he'd run back. Everytime he started to cool down, there was a sweaty, scowling Lucifer panting twice as hard as he was.
He doesn't tell Dean that, though. He knows that Dean wouldn't possibly understand that running helps him deal with Lucifer way better than digging into the scar on his palm. Dean thinks running is ridiculous and has said as much, though Sam blamed the booze on Dean's breath for that. Dean used to love running as part of Dad's PT until one of Sam's last growth spurts shot him up taller than Dean and he could keep up and even outpace with his older brother.
So, he tries to keep his morning jogs a secret. Usually Dean's passed out from the last night's bender to notice and when he does say something, Sam ignores him.
Bobby knew. He confronted Sam about it the second time Sam snuck out and Sam told him. He knew he couldn't lie to Bobby. Bobby looked worried but he admitted that of all the things Sam could be doing to deal with Lucifer, running is probably the least harmful.
Now that Bobby's...gone (Sam can't bear to even think the word dead and put it with Bobby), he's running even more, longer, harder, taking less time to cool down and Lucifer hates it.
"I don't know why you keep doing this Sammy," Lucifer says one day, glaring at him from the box of logs outside Rufus's cabin, "Running yourself to death isn't going to make me go away."
Sam smiles, he must look pretty scary, maybe close to his soulless side because Lucifer actually looks a little freaked, "Maybe. But it makes you miserable. You angels always talk so big, but you can't do a simple thing like run. It's hilarious and if you insist on making me miserable, I'm going to make you miserable. Even if you aren't real." He marches into the house and shuts the door.