The SIG-Sauer P226 is used by all of the Massachusetts State Police officers in the movie, including Matt Damon as Sergeant Collin Sullivan, Anthony Anderson as Detective Brown, and numerous other characters.
In real life, the P226 has been standard-issue for the Massachusetts State Police since 1987. However, during the scene where Collin is sitting in a class on ballistics while at the academy, the instructor mentions that the department's service pistols are chambered for 9mm hollow-point rounds. This is a slight inaccuracy; the Staties have been using the .40 S&W version of the P226 since the mid-1990s (and more recently switched to the double-action-only DAK model, whereas the guns in the movie are SA/DA models).
Although the Sig-Sauer P226 is standard-issue for the Massachusetts State Police (both in the movie and in real life), a close-up of Collin Sullivan (Matt Damon) firing his weapon at the academy uses an Astra A-100. This pistol looks similar to the P228, but it is a very different weapon. When Billy Costigan (Leonardo DiCaprio) is shown training on firearms at the academy, he also seems to be using this same pistol (probably the same prop gun).
Mr. French (Ray Winstone) carries a snub-nose version of the Colt Python .357 Magnum throughout the film. It is seen most notably during the warehouse scene, when he cocks the weapon while it's concealed behind his back.
Billy Costigan's (Leonardo DiCaprio's) pistol throughout the movie is a flat nickel Walther PPK. This weapon is later used by trooper Barrigan (James Badge Dale) to kill Detective Brown, and then by Collin to kill Barrigan.
Frank Costello (Jack Nicholson) carries a Beretta 84BB Cheetah (the early model) as his sidearm throughout the movie. It is seen most notably when he confronts Billy about the possibility that he might be an informant.
A Mossberg 500 "Cruiser" is used by Delahunt (Mark Rolston) during the scene in which Costello's men kill Captain Queenan (Martin Sheen). He drops the weapon after being shot by Internal Investigations detectives.
Olympic Arms K23B assault rifles, ultra-compact versions of the Colt CAR-15 Commando with 6.5-inch barrels, are used by several SWAT officers when they take down Costello at the end of the film.
Error creating thumbnail: File missingAn Olympic Arms K23B similar to the CAR-15s seen in The Departed. The ones in the movie have M16A1-style receivers, whereas this gun has an A2 receiver and the newer-style collapsible stock, but the barrel and forearm are identical.Error creating thumbnail: File missingSWAT officers ambush Costello's men with ultra-compact CAR-15 Commandos which have 6.5-inch barrels.Error creating thumbnail: File missingA close-up of an officer firing his Commando.
Ithaca Model 37
One of the Massachusetts State Police officers is seen firing an Ithaca Model 37 shotgun at Costello's men during the final gunfight. It is equipped with an extended magazine tube.
During the warehouse scene, one of the Chinese thugs carries a Heckler & Koch MP5A3 fitted with a Surefire dedicated fore-end (but with no flashlight in the grip).
An AKMS-type assault rifle is carried by one of the Chinese thugs in the warehouse (it looks like it might be a Chinese Norinco Type 56-1, but it's hard to tell because the weapon is never seen clearly).
One of Costello's men fires at the Massachusetts State Police with a MAC-10 at the end of the film, despite Costello's earlier statement that his men don't carry machine guns.
M16A1 and M16A2 rifles are used by the police officers who perform the 3-volley salute at Billy Costigan's funeral (all of them have A2 hand guards, but the receivers of some rifles are clearly A1 style).