The lively Swindon striker thanked his former team-mates with a super treble while striker partner Billy Paynter also got on the scoresheet in a seven-goal thriller.
But it all started so well for Northampton with Adebayo Akinfenwa giving the Cobblers a third-minute lead, firing home the rebound after Giles Coke had seen his effort blocked.
But from then on Swindon took control of the game as Northampton allowed them time and space to create several openings.
Cox and Hal Robson-Kanu had goalbound shots blocked before Cox put Swindon back on level terms in the 18th minute, getting on the end of Anthony McNamee's shot to beat Chris Dunn.
Akinfenwa almost restored Northampton's advantage six minutes later but Phil Smith was equal to his shot on the turn and pulled off a reflex save.
Two goals before the break swung the game Swindon's way. Cox raced on to Paynter's path to beat Dunn on the half-hour mark and, five minutes before the break, returned the compliment as Paynter raced away to add a third.
Cobblers boss Stuart Gray threw on all three substitutes at the start of the second half.
Andy Holt was just off target and fellow substitute Scott Vernon was also inches wide before Danny Jackman reduced the arrears with a superb 69th-minute free-kick which left Smith rooted to the spot.
Robson-Kanu should have restored Swindon's two-goal cushion a minute later after being set up with a superb pass from Cox but he shot into the side-netting.
But Cox completed his hat-trick in the 79th minute. Paynter did all the work on the by-line before pulling the ball back for his strike partner to grab his 25th goal of the season.
Substitute Ikechi Anya pulled another goal back for Northampton in the 87th minute to set up a pulsating finish and the Cobblers had the ball in the net in stoppage time only for it to be ruled out for a foul as Swindon held on to claim three crucial points.