Why does mercury not form amalgam with iron?
Iron does not form an amalgam readily, hence the use of iron electrodes in mercury switches.  Apparently, iron does form alloys with mercury under specific conditions; see http://www.madsci.org/posts/archives/2011-04/1304143502.Ch.r.html.

By contrast, mercury spilled on gold (e.g. gold-alloy jewelry) soaks in immediately, discoloring the gold, and migrates further into the bulk metal in a few hours, thus restoring the color.