There are many different types of iron oxide, with different chemical formulas and/or different crystal structures. At room temperature, some are ferromagnetic, some are antiferromagnetic and some are paramagnetic.
Ferromagnetic is probably what you mean by ’magnetic’: the spins line up to make an appreciable net magnetic moment. Permanent magnets are made of ferromagnets.
In antiferromagnetism, the spins also line up, but in a pattern which cancels their net moment, for example alternating opposite directions.
In paramagnets there’s no collective pattern and the spins are more or less free to respond independently to applied fields. At room temperature, individual spins don’t respond much so this leads to a very weak magnetism.
On heating, ferromagnetism and antiferromagnetism both go away at temperatures which depend on the particular material.
I’m not sure where to find a good table of magnetic properties of various iron oxides.
(published on 09/26/07)