I got a shock from the soldering iron
Argh. The answer depends on whether it has a 3-wire (grounded) plug or two-wire. 

If the former, then your wiring is bad (ground is not properly grounded), and the soldering iron is probably okay. 

If it is two-wire then the soldering iron has a dangerous short and you should not use it, and immediately return it for a refund. You can check by measuring with an ohmmeter between the input power (not ground) and the tip. You do that with the power disconnected, obviously, but it might only show up when the tip is hot, so you can allow it to heat then pull the plug and test it. 

Some of the crappiest soldering irons are something like 50-60 cents US in quantity, so I'm not surprised there might be some quality issues.