What is Cold Iron?

It is common for Cold Iron to appear in lists of magical metals, and it is commonly invoked as proof against the fae, and against elements of the supernatural in general. An iron horseshoe will repel evil spirits, while and iron nail will cause a member of the fae races to flee, and the iron fence around a graveyards keeps the wandering souls in. 

Wiki: Iron in Folklore 

One thing that many of the items referenced as being efficacious in warding away evil have in common is that before modern metal working and refining techniques, they were all made of wrought iron. Today, wrought iron is used in decorative roles, for it's grain and texture, imperfections and black color. But back before mild iron and cast iron, which these things are typically made of today, they were all made of wrought iron. Wrought is an archaic term meaning worked, or specifically hand worked. Old wrought iron items were made by hand, typically beaten into shape by a blacksmith and his hammer. 

Making these items was an investment of hard labor, and during the Dark Ages, there was a strong tradition that hard labor lead to salvation. This exists today in the expression 'Idle hands are the Devil's plaything' and the traditions of religious groups such as the Amish, and Mennonites. Hard labor is a gift unto God. The fae, and spirits are negative beings, coming from Hellish origins or attempting to draw people from the straight and true path with promises of faerie magic and shortcuts. Eventually the sheer effort and will required to turn out iron (as opposed to brass, bronze, copper, gold and other soft metals with relatively low melting points) came to be anathema to the forces of magic, the spirit world, and the like.

The Source

Cold Iron is made by the hands of man, and starts as a high iron content ore that is hammered over and over, being heated and hammered, pounding the imperfections out of it. It contains within it, the resonance of human will, hard labor, and often the piety of the man with the hammer. It has no magical bonuses, no special abilities, and many things made of cold iron are going to be relatively poor in terms of quality, especially something like armor and refined weapons (swords, versus axes and hammers). 

What is not Cold Iron?

First and foremost, fully smelted and poured iron is not cold iron as it has been heated to the point of melting, versus becoming workable. Poured and cast iron objects lack the level of manual labor invested by a single individual. Meteoric iron is also not cold iron as technically it  is a steel alloy sometimes with some exotic metals in it, and it's already been tempered once by its ride through the atmosphere.