Castiel's voicemail: "I don't understand, why do I have to say my name?"
Dean's voicemail: "leave your name, number, and nightmare at the tone."
I bet Sam's voicemail is something very normal like: "This is Sam Winchester's voicemail. Leave a message after the beep." Or "This is Sam Winchester's voicemail. Leave a message after the- GOSHDARNITLUCIFERSTOPIT."
