The most important of the guns the Winchesters currently have is the Colt.
In John Winchester's words - "Back in 1835, when Halley’s comet was overhead, the same night those men died at the Alamo, they say Samuel Colt made a gun. A special gun. He made it for a hunter - a man like us, only on horseback. The story goes, he made 13 bullets. This hunter used the gun a half dozen times before he disappeared, the gun along with him. Somehow, Daniel got his hands on it. They say.... They say this gun can kill anything."
The gun is engraved with a biblical quote in Spanish (non timebo mala which translates as fear no evils - Psalm 23:4).
Daniel Elkins intended to pass the Colt to John Winchester, however, it was picked up by Kate when she killed Daniel. The Winchesters recovered the Colt from the vampires and kept it up until John offered it, and his life, in exchange for Dean's. The Demon took the Colt and handed it to Jake in order for the Devil's Gate to be opened. The Winchesters regained possession of the Colt when Jake was killed.
There were originally thirteen specially forged bullets. When the Winchesters came into possession of it, there were five left:
5. One was used by John to shoot Luther
4. One was used by Sam to shoot at the Demon in Rosie's nursery
3. One was used by Dean to shoot the Demon's son when he was attacking Sam
2. One was used by Sam to shoot John in the thigh while the Demon was possessing him
1. The last was used by Dean to shoot the Demon.
After the last of the bullets were used, Bobby attempted to find out how the gun worked. With the help of Ruby, he succeeds in returning the Colt to its full potential. Both Dean and Sam have sinced used the Colt effectively - Sam killed the Crossroads Demon and Dean killed a vampire.
The Colt was stolen from Dean and Sam by Bela who claims to have sold it. However, with Bela presumed deceased, its whereabouts are unknown.
Special thanks to Potthead for digging up the info on the inscription.
The night that John is referring to is sometime during November 1835. He is not referring to the Battle of Alamo, but rather the Texas Revolution which also took place at the Alamo. Halley's comet reached it's perihelion (the closest point to the sun) on November 16th. Samuel Colt produced the first production model of his revolver on March 5th 1836.