There are two weapon categories in the armory: sidearms and main weapons.

Sidearms are the weapons you start your Runs with and cannot be dropped. You can purchase unique and more effective sidearms at the store.

Main weapons have a chance to drop from enemies you've killed. At the start of the game, you have several main weapons unlocked, but the further you progress, the more unique and interesting weapons you will unlock. Each gun has a line that tells you how to unlock it (usually by killing some infected that can be found in a certain chapter). After unlocking, the weapon will be added to your weapon collection, and will also have a chance to drop from enemies you've killed.