There are two kinds of magical knives that we've seen in supernatural so far:
- 'Ruby's knife' the magical demon killing knife
- Angel Knives which kills angels.
It seems from what I can recall Ruby's Knife can't kill anything but Demons, and the angel sword can kill angels and hellhounds, at the very least.
Is that the limit of their power? Do we know if they've been tried on any other supernatural creature (Shapechangers, Leviathans etc)? Were they effective? Do we know if particularly powerful creatures are immune (like Castiel in god-mode)?
Answer
Most of the supernatural weapons in the series appear to follow the same basic rule: they can kill anything that is "equally or less powerful" than whatever creature gave the weapon its power in the first place. So, the angel blades can, in theory, kill anything that is less than or equal to an angel in strength, and similarly for Ruby's knife. (The same probably goes for The Colt, as well, as per your other question.)
Ruby's Knife
The knife was seemingly created specifically to kill demons quickly, though we are never told where. (According to the Supernatural wiki, a deleted scene would have placed it in Samuel Colt's possession along with his gun, so it may have come from the same source, and Ruby may have used it to create new ammo.) So far we have seen it almost exclusively used to kill demons. For normal demons, any severe injury inflicted by the knife seems to immediately kill the demon and the host (even injuries that, for a human, would not necessarily be fatal.) Minor injures -- hands, etc. -- cause extreme pain even if the demon survives. (Bobby, for example, stabs himself with it and lives.)
The knife has also been used to stab non-demon creatures, and cause them pain and discomfort, including several of the Horsemen, though it did not kill them. (This is how they cut off the rings from the Horsemen's fingers).
The knife was not able to kill Alastair, a very high-ranking demon, even after Castiel moved it through his heart. This implies that it would have also be ineffective against Lilith and Azazel as well; Lilith seems scared of it but it's possible she doesn't actually know what it is.
The knife has no effect on Castiel when Dean first meets him and stabs him, so it apparently cannot hurt angels.
Angel Blades
There are actually two different kinds of angel blades; Castiel and the other angel "thugs" carry their own, but Gabriel has an archangel blade that he implies is much more powerful. Again, this fits with the general mythology that an archangel's weapon can kill more things than a regular angel's. So far, we have seen this blade primarily used to kill other angels, but there are a few exceptions:
An angel blade was also used by Ruby to kill a pack of hellhounds, though I think that's the only non-angel we've seen even attacked by one.
An archangel blade was able to kill Gabriel, in theory one of the 4 most powerful angels in existence, and Gabriel seems confident that it would kill Lucifer as well.
A normal angel blade could not kill Castiel after he had absorbed all of the souls from Purgatory, making him something stronger than a normal angel.
Other Creatures
We've never seen either weapon used on other supernatural creatures, so it's unknown what effect it would have. In theory, it ought to be able to kill anything weaker than a demon (so, e.g. vampires, werewolves, etc.); on the other hand, the specific weaknesses of those creatures might make them immune to death from other sources. Unless someone gets the bright idea to stab a vampire with Ruby's knife, we'll probably never know.
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