We have conducted a thorough and blind search for emission lines in >70 Swift X-ray afterglows of total exposure ~10^7s. We find that most afterglows are consistent with pure power-laws plus extinction. Significant outliers to the population exist at the 5-10% level and have anomalously soft, possibly thermal spectra. Four bursts are singled out via possible detections of 2-5 lines: GRBs 060218, 060202, 050822, and 050714B. Alternatively, a blackbody model with kT~0.1-0.5 keV can describe the soft emission in each afterglow. The most significant soft component detections in the full data set of ~2000 spectra correspond to GRB060218/SN2006aj, with line significances ranging up to \~20-sigma. A thermal plasma model fit to the data indicates that the flux is primarily due to L-shell transitions of Fe at ~ solar abundance. We associate (>4-sigma significant) line triggers in the 3 other events with K-shell transitions in light metals. We favor a model where the possible line emission in these afterglows arises from the mildly relativistic cocoon of matter surrounding the GRB jet as it penetrates and exits the surface of the progenitor star. The emitting material in each burst is at a similar distance \~10^12--10^13 cm, a similar density ~10^17 cm^-3, and subject to a similar flux of ionizing radiation. The lines may correlate with the X-ray flaring. For the blackbody interpretation, the soft flux may arise from break out of the GRB shock or plasma cocoon from the progenitor stellar wind, as recently suggested for GRB060218 (Campana et al. 2006). Due to the low z of GRB060218, bursts faint in Gamma-rays with fluxes dominated by this soft X-ray component could outnumber classical GRBs 100-1.
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