Step 1: Understand the formula.
K$_4$[Fe(CN)$_6$] is a coordination compound. The cyanide ion (CN$^-$) has a charge of -1, and there are 6 cyanide ions in the complex, giving a total charge of -6.
Step 2: Calculate the oxidation state of Fe.
The overall charge of the complex is neutral, so the oxidation state of Fe must balance the charge of the cyanide ions and the 4 potassium ions.
- Potassium (K) has a +1 charge, and there are 4 potassium ions, so the total charge from K is +4.
- The total charge from the cyanide ions is -6.
Thus, to balance the charges, the oxidation state of Fe must be +2.
Step 3: Apply to the options.
The oxidation state of Fe in K$_4$[Fe(CN)$_6$] is +2, so the correct answer is (A).
Final Answer:
\[
\boxed{+2}
\]