It bypasses the DR of certain creatures, typically creatures of chaotic bent like fey and demons. It also increases the cost at the beginning of the enhancement of a magic item.
That is...it. It is a special material that makes weapons more effective against certain creatures (breaks through their DR). The most notable creatures affects would be fey and demons.
For technical aspects- double the weapon's base cost (but not the cost of things like masterwork- that is seperate). +2000 to the price of an enhanced weapon (but only the first time you enhance it).
You can find all this under the special materials part of the equipment section in the Core Rule Book.
Its only role is to make sure you prepare the right equipment for the right foe. The often small increase in weapon price, along with the extra price when it is first enhanced (which makes it prohibitively more expensive when you are at the level where you are looking for +1 weapons) is the only downside- the price for getting past DR. Silver, on the other hand, has a fixed price increase, and a -1 to damage for slashing/piercing weapons (not to bludgeoning), but it doesn't have to deal with the problems of enhancement price increase.
Both cold iron and silver are eventually made obsolete. A +3 weapon goes through the exact same DR.
If you want special properties due to the material, particularly ones that stay relevant even when the DR thing is gone, then you want adamantine.
It is very hard, and it ignores the hardness of materials with less than 20 hardness (ie- almost anything that isn't adamantine). That makes it good for sundering, and gives rise to the "adventurer's lockpick" (an adamantine dagger you use to just cut the lock or hinges off a door). Also, it gives minor DR when used for armor.
