Almost all models carry equipment of some sort, from a simple sword or axe to an array of arms and armour. The equipment a model carries will be listed and is factored into its points value. Many models, particularly monsters, will have natural weapons listed as equipment, their claws, teeth and even breath weapons being the weapons they 'carry' into battle.
The rules for many of the weapons and armour carried and worn by models can be found in the Weapons of War section.