Combi-weapon
Combi-weapons are specialized weapons in Warhammer 40,000, mainly used by the Imperium of Man, Chaos Space Marines, and the Orks. A combi-weapon is essentially a bolter with another weapon integrated into it. Among the Space Marines they're commonly used by Terminators and most famously by the Deathwatch. Since 8th Edition came and turned combi-weapons into a flat-out upgrade, individuals armed with them can either shoot any of the two, or, and that's something new compared to previous editions, shoot both at the same time at the cost of a shooting penalty. They come in several varieties.
Space Marines/Imperials
Generally speaking, Combi-weapons were first developed during the Great Crusade in an effort to improve the firepower of Astartes wearing Terminator armour; because a single Bolter was just not enough. So the Adeptus Mechanicus started by simply slapping two Bolters together, creating the Combi-Bolter and it snowballed from there. Those weapons were just awesome enough that their use spread from Terminator units to the entirety of the Space Marine Legions and beyond. The Combi-Bolter was later upgraded further to the purpose built Storm Bolter (while the traitors got stuck with the older variant), but the other Combi-weapons remain much the same as they were back then, combining the 'take-all-comers' flexibility of a good Bolter with the extra punch of a secondary weapon.
Combi-Flamer
A boltgun with a flamer attached to its underside. When you want both the firepower and armor-cracking effects of the Bolter but also want to have the horde cleansing affects of the trusted Flamer, accept no substitutes. Especially useful for close combat situations. Combi-flamers are one of the most common and most well liked type of combi-weapon (The other being the Combi-Plasma) due to its versatility.
Combi-Melta
A bolter with a meltagun attached to its underside. As you can imagine, these are used when there is a large presence of enemy armor. Combi-meltas are favored by tank-hunter specialists who like the vaporizing affects of the Meltagun but is also quite inclined to attach a more longer-ranged weapon to compensate for the relatively short range of the Meltagun. As you already know, it is very useful when hunting tanks.
Combi-Grenade Launcher
A Bolter with a Grenade launcher strapped to the side, think of this as that particular Noobtube attachment you see on Call of Duty or Battlefield. Sometimes confusingly called the Auxiliary grenade launcher. As you can imagine, some has taken calling this weapon a Noobtube as well despite the fact that on tabletop it is not as overpowered as the ones you see in other video games. Due to its nature, it is useful for fighting large hordes of enemies or lobbing grenades over well entrenched positions, though why the Imperium thought it would be useful to attach a single-shot grenade launcher to an automatic rocket-propelled grenade launcher is anyone's guess. (Bigga is betta, zoggin' 'umie!) Actually, since bolter shells explode after penetration, while good against armor, that effect is shit for clearing hordes. It's a bomb vs an RPG.
Combi-Plasma
The most prevalent type of combi-weapon among loyalists, combi-plasma guns are extremely useful. A popular tactic is to fire a plasma blast first, allowing the plasma to burn through whatever armor is present, then fire a bolt, which will be able to pierce the exposed flesh and explode inside the target. It is best used against MEQ's and equivalents which, in a Space Marine's combat tour, is a relatively common enemy to face.
Combi-Grav
A bolter with a gravgun attached to its underside. It serves the same purpose as a Combi-plasma except it fires more shots and has an equal chance of hurting any vehicle while plasma ranges from ouch against light vehicles to all but useless against the heaviest ones. However due to the rarity of Gravguns, let alone a Combi-grav, these weapons are seldom used unless it is of the most dire situations.
Infernus Heavy Bolter
Added in with the Deathwatch army, it's just as it sounds, a heavy bolter with an under-slung heavy flamer, whoever made this must have been high off their tits because that shit is ridiculous. Maybe they've been hanging around orks too long because this sounds like a serious case of wanting more Dakka. You know, I think you're probably right on that one, it sort of makes sense that the guys dealing with Xenos filth all the time would take the most inspiration from them.
Adrastus Bolt Caliver
Adrastus Bolt Calivers AKA The Golden Gun is a type of Combi-Bolt Weapon used by the Adeptus Custodes.
As you can imagine, these guns are one of the best anti-infantry weapons of the Imperium. Due to the size of the Golden Bananas, these hybrid guns are used as heavy weapons by the Custodes and utilize 'Adrasite' disintegration beam technology banned from the wider Imperium. This essentially makes them as Imperial Gauss Blasters. This combination weapon is able to unleash a fusillade of explosive rounds at long range with the potency of a Heavy Bolter or fire a short range disintegration beam able to rip a target apart at the molecular level. Their golden color and its properties makes them officially Awesome.
Only the Sagittarum Guard are given the privilege to be issued and trained with these golden weapons of war.
Disintegration Combi-Gun
A rare weapon from the Dark Age of Technology, the Disintegration Gun is actually only available in the forms of a pistol or combi-weapon. It does exactly as the name suggests, disintegrate things. In 7E, the Disintegration Gun itself has a very similar statline and effects to the Adrathic weaponry of the Custodes (also described as being disintegration weapons), so one can assume the Adrathus Bolt Caliver (An Adrathic Destructor mounted on a Heavy Bolter) is pretty much a beefed-up version of it.
Despite being powerful and looking pretty damn sweet, this weapon is only available on the limited edition "Imperial Space Marine" model, so you're gonna have to deal with eBay scalpers or learn how to convert one of your own if you want one.
Inquisition / Assassinorum
Combi-Needler
A weapon used by the Ordo Malleus. A Bolter with a Needler integrated within it, intended to be used against creatures like daemons that are extremely difficult to injure. This Combi-weapon is used only by the Inquisitors and Acolytes of the Ordo Malleus as the materials and expertise needed to craft these weapons is difficult and hard to acquire. A variant of this Combi-weapon also serves as the primary weapon of Eversor Assassins.
Condemner Boltgun
Also called the Combi-Stake Crossbow. Used by Ordo Hereticus and Sisters of Battle, this is a bolter combined with one-use crossbow. Yeah, it sounds pretty pathetic. The cool point is that the crossbow bolt is filled with a mix of holy promethium and some anti-psychic shit produced by the Golden Throne.
So a direct hit from the crossbow component of the Condemnor Bolter will therefore not only deal a severe physical wound to an enemy psyker, it will also send his or her power spiraling out of control, consuming the user in a storm of untrammeled psychic energy. So it's not only going to burn the witch's body, but also burn down his very soul (which is crunch wise auto-peril to any psyker target).
Executioner Pistol
Used by Eversor assassins, this is (in DH) a combi-needle pistol, or (in WH40k) a pistol that fires poisonous needle shaped bolt rounds. As a result, the Assassin can fire both explosive Bolts or needles composed of a crystallised neurotoxin, sedative or interrogation narcotic into his victim, as the situation demands. The weapon's Needle Pistol toxins are so potent that whenever a target is hit by a shot it kills the victim almost outright.
It is this versatility, combined with the exquisite craftsmanship of every Executor Pistol, that makes it such a popular choice for one of the Imperium’s sanctioned assassins. The weapon incorporates the heights of arcane tech-lore in its construction. It possesses a bi-stabilized targeting sight, and its polymorphic grip is genetically coded to the individual Assassin. Thus, even if an opponent were somehow to gain control of an Executor Pistol, he would be unable to fire it. Changing the weapon’s programming to recognize a different user requires access to secret Officio Assassinorum facilities, something that is almost impossible even for most members of the Inquisition.
Chaos Space Marines
Combi-Bolter
Also known as a Twin-linked Bolter, the combi-bolter was basically a pair of boltguns welded together to create a more dangerous weapon. It was used by the Space Marine Legions during the Great Crusade. However, it has been replaced by the Storm Bolter among the Imperium, but is still used by Chaos Space Marines, more specifically on the Chaos Space Marine Bike Squadrons where they can perform dakka in a quick and easy fashion.
Orks
Kombi-Rokkit Launcha
The Shoota/Rokkit Launcha gives the user a single side-mounted Rokkit Launcha with a single Rokkit to use against enemy tanks and armored vehicles. Great for when your Shoota Boyz needs a little bit more anti-vehicular punch and weight or if you need more Tankbustas but don't want to waste anymore points. Considering orkish ballistic skill it's probably going to miss when you fire it or explode in your face if the wiring is all wrong.
Kombi-Skorcha
An orkish version of the Combi-flamer with the more powerful skorcha (heavy flamer) attached to it instead of a flamer. The ork version of a combi-weapon is a shoota with something attached to it instead of a boltgun with something attached to it. Great for crowd clearing as well as boosting the CQC killyness of your Orky Boyz, and unlike the Kombi-Rokkit Launcha, you don't really need to worry about accuracy.
Twin-Linked Shoota
Think of this as the Ork's equivalent to the Chaos Space Marines Combi-Bolter. The Twin-Linked Shoota is basically two large Shootas duct-taped together from side to side. The Twin-Linked Shoota is often used commonly by Ork Warbosses as it gives them sufficient dakka before closing in for the kill and krumpin' his enemies. It provides greater accuracy than your standard everyday Shoota.
Real Life
Yes, these actually exist. Yes, it is Awesome.
LeMat Revolver
Are you depressed about your nine-shot revolver not having more firepower? Well worry not, as the axle used by this gun's cylinder also doubles as a smoothbore barrel, allowing you to fire a shotgun blast with just a flick of the small lever atop the hammer! Amazing!
Grenade Launcher
The only major combi-weapon the military uses. Examples include the M203, which clips under the barrel like a bayonet. It can also be reloaded, unlike pre-8th Edition 40k variants, and has basically replaced the non-automatic Grenade Launcher.