Pistol
You have this when you begin, and it has infinite ammo. This is always a nice thing! Still, learn to be very accurate - there will be missions where every second counts.

Rifle
This is another starting weapon. This has limited ammo, you have to gather up more from various locations on the map. You see the ammo on-screen when you're using it. The bullets shown in the loop are "in" the gun. There are 17 total in the loop - the one in the center is the "chamber bullet" and it counts. The number shown is of the additional bullets in your holster.

Schofield
You get this pistol from Jenny once you free her in the saloon. This used to be Ned's, and it gives you faster reloads.

Winchester Shotgun Model 1887
You get this when you finish the first Alhambra mission, in Dodge. Everybody likes a shotgun!

Whiskey Bomb
You get this after the Alhambra mission.

Quick Killer's Tomahawk
You get this after the train bridge mission.

Cold Double Barrel
After the first Hoodoo mission in Empire.

Volcanic 10 shooting Handgun
After the first Hoodoo mission in Empire.

You can buy upgrades for your weapons from the store. Note that you shouldn't obsess about getting them all early on - you'll find plenty of gold in the game to get every single item before the game is over.

Gun Walkthrough