Sometime in season 3. The name was first mentioned by Alex's boyfriend when he and Sawyer and Kate escaped from Hydra Island. He said something in a delerious fashion about how God loved Jacob - which is of course on face value a biblical reference but when Jacob surfaces later we see it has double meaning. Looking closer, I know that the full biblical reference is that God loved Jacob and hated Esau. I'm no biblical scholar but if memory serves, Esau did nothing to win God's wrath and Jacob did nothing to win God's favor. This constrasts this story from Cain and Abel where Abel made a greater sacrifice than his brother. So I conclude that there is definately a hint in there that Jacob, while benevolent, was unfairly smiled upon by God to the detriment of others (Esau)
The above information is incorrect.
In Season 3, Episode 6 "I Do", Danny Pickett says "Shephard wasn't on Jacob's list". This was the first reference to Jacob.
Then in the next episode "Not in Portland" (Season 3, episode 7), Karl is being brainwashed in room 23, where we see the image on the scren "God loves you as He loved Jacob".