Albert Lee (Simon Yam) as well as most of the other Police officers one his team had a Glock 17 as their sidearm.
Beretta 92FS
O (Takashi Sorimachi) had two Beretta 92FS in Macao, a standard and a customized one with a compensator and extended magazine. One of the target's bodyguards also had one. Police officers were seen armed with these as well. When escaping from his hideout in Singapore he had another one with wooden grips.
Browning Hi-Power
In the opening scene, O used a Browning Hi-Power to kill his target. Later on, Lok Tok-Wah (Andy Lau) picks up a nickel plated one for the final shootout with O.
Walther P99
A thug was using a suppressed Walther P99 in O's flashback.
O used a Colt Python but said it was a fake that shoots blanks to distract some thugs.
Smith & Wesson Model 686
In a continuity error, during the shootout in the parking lot, O's Python turned into a Smith & Wesson Model 686.
Shotguns
Remington 870
Numerous variants of the Remington Model 870 Shotgun was seen throughout the film. Lok Tok-Wah (Andy Lau) used a sawed off one in his opening scene in a police station hidden in a bouquet of flowers and then another one in downtown Hong Kong. O used a full size 870 with a vertical foregrip and a hollowed out stock when escaping from his hideout.
Franchi SPAS-12
O had a Franchi SPAS-12 in his room and a police officer used one when clearing the building. Both ones used had no stock.
Submachine Guns
Uzi
Lok Tok-Wah used an Uzi during the final shootout with O.
Also on display in O's decoy apartment is an MP5K.
Rifles
Colt Model 727
In O's decoy apartment, he had a Colt Model 727 on display. Another was seen in his hideout with the handguard removed.
M16A2
Lok Tok-Wah tried to teach Chin how to shoot and trained her with an M16A2 fitted with a suppressor, scope, bipod and 20 round magazine.
Heckler & Koch G3
During the Macao job, Lok Tok-Wah used an unknown Heckler & Koch G3 variant on O. Possibly the G3A3 variant.
Custom AR-15
In O's real hideout, he had a custom AR-15 in a sniper's configuration with scope, bipod and special pistol grip. The hand guard appeals to be the Bakelite variant that is seen in an early AR-15 design. Chin uses it during their escape.
SKS (mocked up as Barrett M82)
Lok Tok-Wah uses what at first glance appears to be a Barrett M82 to cover O and Chin as they escape from the police. However, on closer inspection it actually appears to be an SKS rifle encased inside a Barrett M82 shell.