The Dresden Files have been around for a while. Cold Days is, I believe, the fourteenth book in the series. Like any long series, there's a lot of backstory and supporting characters, and it's easy to get lost if you haven't read the previous books. But that same history gives the characters and conflicts a lot of richness. We've had over a dozen books to get to know and care for these people, starting with Harry himself.
After having spent the previous book as a ghost, Harry Dresden is back from the dead. This is not a good thing, as it defeats the purpose of his suicide by assassin. Harry's sold his soul to the Winter Queen of Faerie, Mab, to become the Winter Knight. That grants him a great deal of power, but it comes at a price. For one, it means that he has to become Mab's assassin, killing anyone she wants dead. Worse, the Winter Knight Mantle is changing him. Winter is sometimes called the wicked side of Faerie in the books, but that's not entirely accurate. Winter isn't evil, but it is primal, reflecting the part of nature that's about survival of the fittest and procreation of the species and the ultimate end of all nature: death. The changes the Mantle causes, and Harry's fear of them, are the reason for the aforementioned suicide by assassin. Too bad Mab and Demonreach, the genius loci of Harry's island, won't let him escape that easy.
The story starts with Harry going through rehab in Mab's palace. Weight training, motor control, assassination attempts--that sort of thing. Once he graduates from that, he's off on his first assignment, to kill an immortal. Along the way, he discovers that someone's attacking his island, intent on freeing what's imprisoned there, with possibly disastrous consequences for the Midwest. Fortunately, both plots come together in a spectacular finish.
The greatest strength of this book is its place in the series. We get to see old friends, and learn how things have changed since Harry's been away. This is also the greatest weakness of the novel. Old problems get brief mentions and remain unresolved (the Swords of the Cross, for example), new problems get created but remain unresolved (Molly's new role, Mac). And when old mysteries do finally get answered, it's often unsatisfying--I didn't find Demonreach's true purpose as interesting as its promise. Ditto for the Gatekeeper's role in things. On the other hand, sometimes the payoff is surprisingly good, such as the purpose of Winter. (The fact that it was one and the same as the Gatekeeper's role is what diminished the latter's reveal.)
However, I think that the biggest disappointment with this book is that it didn't feel like Harry did a whole lot. Sure, Dresden always spends much of the book floundering around, trying to figure out what's going on. But he usually manages to get his act together and beat the big bad at the end. This time it felt like he kept on floundering until someone else had to do the job for him. Oh sure, he was still there, hitting stuff, but at each step he'd been manipulated to where he was supposed to be, and at the end, he doesn't even throw the deciding punch himself.
Ultimately, this didn't feel like a book so much as an episode. That's not entirely a bad thing, and a series this long isn't ruined. by a book or two where the hero never really gets his act together. Failure is part of the drama. But I hope that Butcher doesn't make a habit of it.