We compute the lattice-dynamical and thermal equation of state properties of ferromagnetic bcc iron using the first-principles linear response linear-muffin-tin-orbital method in the generalized-gradient approximation. The calculated phonon dispersion and phonon density of states, both at ambient and high pressures, show good agreement with inelastic neutron scattering data. We find the free energy as a function of volume and temperature, including both electronic excitations and phonon contributions, and we have derived various thermodynamic properties at high pressure and temperature. The thermal equation of state at ambient temperature agrees well with diamond-anvil-cell measurements. We have performed detailed investigations on the behavior of various thermal equation of state parameters, such as the bulk modulus $K$, the thermal expansivity $\ensuremath{\alpha}$, the Anderson-Gr\"uneisen parameter ${\ensuremath{\delta}}_{\mathrm{T}}$, the Gr\"uneisen ratio $\ensuremath{\gamma}$, and the heat capacity ${C}_{\mathrm{V}}$ as function of temperature and pressure. A detailed comparison has been made with available experimental measurements, as well as results from similar theoretical studies on nonmagnetic bcc tantalum.