Cold iron is a poetic and archaic term for iron, referring to the fact that it feels cold to the touch. In modern usage the term has been most associated with folkloric beliefs that iron could ward off ghosts, fairies, witches, and/or other malevolent supernatural creatures.
Francis Grose's 1811 Dictionary of the Vulgar Tongue defines cold iron as "A sword, or any other weapon for cutting or stabbing." This usage often appears as "cold steel" in modern parlance.
In mythology, the term "cold iron" is sometimes only applied to cold-worked iron of meteoric origin, or having fallen from a meteor, as such metal has never been heated by human agency. Mined iron must be smelted first, so such iron may or may not be considered "cold iron", depending on the source consulted.
For purposes of simplicity and uniformity, "cold iron" can be considered to be any implement of actual iron in reasonable purity. Steel and similar alloys do not count. Cold-worked iron may have greater effect against those entities that are sensitive to such things (most notably the Fae), but even machine-forged and stamped iron may prove effective.