The Colt is a legendary revolver, one of only five things in all of existence that cannot be killed by it. Created in 1835 by the hunter and gunmaker Samuel Colt, it was designed as the ultimate weapon — a gun that can kill anything supernatural. With its original thirteen bullets (and later, hand-crafted replacements made by Bobby Singer using a specific method), the Colt is the most coveted weapon in the hunting world.
History
Samuel Colt built the gun in 1835 and used it to kill a demon at a church in Sunrise, Wyoming. He also constructed a series of railway lines and iron devil's traps that formed a massive protective sigil around a gateway to Hell in southern Wyoming. The Colt was the key that locked this gateway. The gun passed through various hands over the next century and a half, eventually ending up with the hunter Daniel Elkins, who was killed by vampires in Season 1.
In Supernatural
John Winchester recovered the Colt from Elkins' vampire-raided home. It became central to the first two seasons as the weapon the Winchesters planned to use against Azazel (the Yellow-Eyed Demon). Dean ultimately killed Azazel with the Colt at the end of Season 2. The gun was subsequently lost, recovered, and used against various threats. In Season 5, Dean attempted to use it to kill Lucifer, but Lucifer was revealed to be one of the five things the Colt cannot kill. The gun continued to appear periodically through later seasons.
The Five Exceptions
Lucifer stated that there are five things in creation that the Colt cannot kill. He is one of them. The other four are never definitively identified, but fan and in-show speculation suggests they include God (Chuck), Death (the Horseman), Michael, and possibly the Darkness (Amara). Everything else — every demon, monster, angel, pagan god, and supernatural entity — can theoretically be killed by the Colt.