Cold wallets are usually hardware items that look similar to a USB stick. There are also others in the form of paper wallets or secondary offline computer. All hardware wallets are impervious to hacking. To access these wallets, physical possession of the cold wallet is required as well as associated pins and passwords.  

Even when these devices are connected to the internet in order to make transactions to a hot wallet, it would be impossible for any malware or hackers to hack into the wallet. Each cold wallet comes with a “signature” that assigns ownership to the recipient of the cryptocurrency transaction. As these keys never leave the device, no transactions would be allowed through as they would not possess the correct signature. 

Cold wallets definitely have less ease of use. They have to be powered on before connecting to the internet. In contrast to hot wallets which usually come free of charge, hardware wallets can cost up to $200.