Jerry's mission is to transport the film's titular weapon; a legendary Mexican pistol manufactured in the 1800's, known as "The Mexican" to a criminal named Arnold Margolese (Gene Hackman). Jerry picks the pistol up from Beck (David Krumholtz) upon his arrival in Mexico. Sam (Julia Roberts) holds the firearm on Bernie Nayman (Bob Balaban) during the finale.
Winston Baldry (aka "Leroy") (James Gandolfini) uses a .22 LR two-tone Llama XV (not a Llama Micromax, as previously mentioned), the .22 caliber version of the Llama III-A, to kill the real Leroy (Sherman Augustus) in a Vegas hotel room and later draws it on Jerry in the Mexican desert. Gun is identifiable by small bore and thin long ejector (model III-A has wider ejector). When the gun is on the table, Llama old-style grips and ribbed barrel are clearly visible. The caliber of this pistol makes sense in this context, because Leroy is a killer, so a .22 caliber-shooter.
Smith & Wesson 4506
The real Leroy (Sherman Augustus) carries a Smith & Wesson 4506 when he attempts to kidnap Sam and during his brief shootout with Winston in the Vegas hotel room.
Star Model BM
Bernie Nayman (Bob Balaban) carries this pistol during the "Mexican standoff" in the finale, pointing it at both Jerry and Sam.