What is this cast-iron device on my water supply pipe?
It's a pressure regulator. The screw at the top turns in (clockwise) to increase the pressure, and turns out (counterclockwise/anticlockwise) to decrease the pressure.  The plug at the bottom (adjacent to the screw) can be where a pressure gauge goes for the low pressure side, but it's plugged off.  The other plug towards the input is where you can loop back into the high pressure side.