What are swords/knives such as Sting, Anduril, Guthwine made of? Iron? Steel? Mithril?
Steel or Mithril mostly with a sprinkle of magic.
I don't believe there is any reference in the books or to the material that was used. Only just general nods that the Elves were smithing with steel and/or Mithril in the first age when those, at least Sting, was created. Granted they were doing something in their smithing process that seemed magical to other races. Hence, why Sting glows blue.