When the Colt was first introduced, it was a fun and novel concept. The idea that a gun created by Samuel Colt could kill anything as long as it was shot using one of the original 13 bullets was cool. It played a prominent role in the early seasons and was the catalyst for the demons being released from hell.
The final bullet was used to kill the yellow eyed demon and then the gun was supposed to be useless. I personally would have loved if they would have left it with that. Having a all-killing firearm on hand just seemed like Deus Ex Maquina at its worst. When the writers brought out the Lucifer storyline in season five, they decided to bring out the Colt again.
In a way, I can understand. They are trying to do everything they can to beat Satan, so trying to work on the Colt seemed like a natural decision. They end up getting it working, but it doesn't work on Lucifer. Apparently, there are only five things it can't kill and he's one of them. What happens to the Colt after that is unknown. There hasn't been any conclusion on the fate of the Colt.
Do Sam and Dean still have it? Do the demons have it? Do the angels? This is one of the most powerful supernatural weapons in existence and it was just dropped. It could have been used to kill the Alphas or any number of big bads. Would it have killed Dick Roman? It's funny they never tried to get the Colt after him.