So we tried coated but uninsulated copper wire and that didn't work either.
Now, that should have worked. Did you take a knife, or something and strip the coating (which is insulation) from the wire where you connect it to the battery?
Anyhow, any old steel bolt should work for an electromagnet. Just won't work as well. Good enough for a demonstration, though. Maybe you need a higher voltage battery. Sometimes power trumps technique.
I can't think of a single common item made of iron. It's probably only used for casting odd shapes