Are God and Death part of creation?
Lets assume God and Death are not part of "creation", since they are explained as the first entities to exist, and were not "created":
Dean: Well I gotta ask. How old are you
Death: As old as God. Maybe older. Neither of us can remember anymore. Life-death; chicken-egg. Regardless, I'll reap him too.
Dean: God? You'll reap God?
Death: Oh yes. God will die too, Dean.
S05E21 - Two Minutes to Midnight
What about the other three Horsemen?
It is not clear whether the lesser Horsemen are part of creation. Unlike Death, they gain their powers from rings. It is explained that they are powerless after Sam and Dean chopped off their rings:
Brady: See, War and Famine, even if I could cram the rings back on their bony fingers, I doubt it would do much good. They're withered husks right now, fetal position on the floor, all thanks to you. So I don't want the rings. What I want is retribution. And I'm going to rip it right out of your ass!
S05E20 - The Devil You Know
The lesser Horsemen are depicted as loyal to Lucifer and his apocolyptic plans, whereas Death was kept trapped and, even after being released, was forced to obey Lucifer by a spell:
Death: Lucifer has me bound to him, some unseemly little spell. He has me where he wants, when he wants. That's why I couldn't go to you, I had to wait for you to catch up. He made me his weapon. Hurricanes, floods, raising the dead. I'm more powerful than you can process, and I'm enslaved to a bratty child having a tantrum.
S05E21 - Two Minutes to Midnight
Sam and Dean never actually tried killing a lesser Horseman (only chopping off their fingers). One can speculate that they probably can be killed, since they were relatively easily dispatched by the Winchesters, and are now powerless.
It also makes sense that the lesser Horsemen are part of creation (and therefore not at the cosmic level of God and Death) because their roles in the apocalypse are more specific to afflictions that affect humans (War:violence, Famine:hunger, Pestilence:disease); whereas death is a more cosmic concept that can even affect God and the universe itself.
We know that the Horsemen are not demons from the Winchester's dealings with them (no sulfur in S05E02; Sam could not affect Famine with his demon blood powers in S05E14). There is a small amount of evidence that the Horsemen may actually be fallen angels (not Archangels) who are loyal to Lucifer. According to the Bible, angels are commonly referred to as stars:
Dean, reading from Revelation 8:10 about the Horseman War: And there fell a great star from Heaven, burning like a torch. And it fell upon a river, and the the name of the star was Wormwood, and many men died.
S05E14 - Good God, Y'All
Other deities
It's evident throughout the series that other so called "gods" can be easily killed through a number of methods. They would no doubt be killed by The Colt. For example:
Sam and Dean killed The Vanir by burning The First Tree.
S01E11 - Scarecrow
Sam kills Leshii (in the form of Paris Hilton) by decapitation with an iron axe.
S05E05 - Fallen Idol
Dean kills Zao Shen by stabbing him with a wooden stake.
S05E19 - Hammer of the Gods
A single Archangel (Lucifer) slaughtered an entire room full of gods, including Odin, Ganesh, Baldur, & Mercury with no effort.
S05E19 - Hammer of the Gods
So who, in creation, would be immune to The Colt?
Since Lucifer is an Archangel and he is one of the 5 things in creation that cannot be killed by The Colt, it makes logical sense that other Archangels are likewise immune to it. The Archangels are:
Michael
Gabriel
Lucifer
Raphael
Who's the 5th one then? Sorry, that's complete speculation because there's no reference to it in the series. I am only in season 6, so I don't know all of the characters yet. Again, God and Death are excluded from this list of 5, since they are not part of creation (they existed before creation).