Sam owns a big gun which he seems to carry around everywhere he goes. The gun can be seen in almost every comic and Telltale episode. With the exception of a brief appearance in the beginning of the episode "Kiss Kiss, Bang Bang", it's never mentioned in the animated series (being replaced by such child-friendly weapons as bazookas and flamethrowers), making it explicitly absent only in Hit the Road, where it's left back at the dry cleaner's.
Sam's gun looks most like a Smith & Wesson Model 29 .44 Magnum revolver. The Model 29 was one of the most powerful handguns in existence at the time of its introduction and has become a highly popular and well-recognized weapon by being the weapon of choice of "Dirty" Harry Callahan.
In the comics Sam is quite trigger-happy but a lousy shot, never actually hitting anyone. In the Telltale episodes he is reluctant to even threaten people with it, but can hit any object on the first try.