A cold open is a bit of content, then the opening theme/sequence/title/whatever, then back to the story. They're often unrelated to the content in the bulk of the episode, but they can also be used to handle "last time on this stupid show" segments or small side-plot stuff. Shows like NCIS or CSI: Your Momma's house use them extensively to set up the show by detailing the crime that is going to be central to that episode.
As an example, my favorite is the one where it opens with you flapping some patches up and down over your shirt at the nipple line, she-toya says from offscreen that "that's stupid" and you reply with "It's not stupid, it's for easy access!" and then it cuts to the highlander theme music, opening cinematic and you come back on and deliver the SOTS proper.