Lazer - It really depends on the size of the switch, the guage of the wire, and the proximity to circuitry. I use different irons, for different jobs.
- If it's a beefy toggle switch and you're running power thru it (so the wire is a bit heavier, too), I will use a soldering gun. Like KC said, squeeze the trigger and go.
I'll also use a gun to tin my wires. (Mostly, because of the speed and convienience.)
- If it's a more delicate switch and your running smaller than say 20 guage wire, I'll use a standard pencil tip iron. Any "middle of the pack" Radio Shack iron will do.
I also use this when soldering my I/O. (D-sub connectors, plugs, jacks, etc.)
- If I'm working on a PCB, I use a good quality Metcal iron, designed for circuit repair.
Honestly, the standard pencil tip is your best "all around" solution. It
can do the heavier stuff. It just takes a little longer and it's not as convienient.
It works best with most standard switches, connectors, and signal gauge wiring and won't cook the delicate stuff. (Like the gun can do, if you're not careful.)
And you
can do board work with it, too. It shouldn't damage the sensitive circuits like a gun can do, but it's a bit more clumsy to use.
As far as those cold soldering irons, I don't recommend them. Not only is the tip cold but most of the time, so is the solder joint!

Besides, they don't really solder....they arc weld. They're cool in a pinch and for things like autos and house wiring, where the signal quality doesn't matter so much.
Just remember....Keep the tip clean, pre-tin your wires, make it quick, and flux, flux, flux.
