First off for weapons in RPs and Stories involving most G4 things the first thing we should take into account is tech level. The average level tech seen on screen in and stuff such as the western bit and general world feel I'd say they would put FiM more into the Victorian or Edwardian Periods. Probably more into the Edwardian period since there seems to be the begins of massive technological change in machines that could upset the status quo.
But then we're dealing with a completely different culture here where everyday magic is involved and different paths of technological evolution. It would make more sense that weapons are not that well developed since the ponies would not have experienced as many wars as say humans. To give an example from Earth history during Japan's Edo period advancement on firearms ceased and nearly disappeared in favor of the sword since:
1. The era was largely peaceful both internally and externally so there was no need.
2. The sword was more practical in the small scale conflicts of the era.
3. Guns made it too easy for peasants to kill nobles and their trained warriors so they were discouraged.
The first two apply to Equestria which presumably has lived in peace for at least 1,000 years with only small scale conflicts. What guns exist would be rather primitive without any real imperative to develop them. Probably more like the European Hand Cannons/Bombards than anything more advanced at this current stage. That is not to stay they could be developed quickly in times of war like weapon technology and aircraft in the 1st and 2nd World Wars.
It might be surprising but there is a good bit of canon weapon use in MLP so here is a run down of some of the weapons in MLP.
First up the most ineffective weapon of them all - Bows:
Here's North Star in G1 being taught how to shoot a bow by Robin Hood in Through the Door - Part 2. A normal sized Bow is kind of useless in the hooves of ponies as shown by two of the merry men having to hold and steady the bow in a rather awkward way and the only way North Star can grasp and pull back the arrow is with her mouth. The shots were not exactly impressive not even making it to the target although Robin Hood kept encouraging her to keep trying until she got the hang of it (although that maybe do to the friendship they quickly developed). It might be possible for a pony to hold a smaller bow in the crook of their hooves and fire with the mouth though while standing on two hooves. Still rather awkward and hard to do for most ponies (although some probably can since there are bow and arrow cutie mark there are some who have mastered it). A downside with smaller bows there is much less range.
Back to G4 the primary weapon we see ponies use are Pole Arms:
The Pole Arm seems to be the weapon of choice for the Royal Guards and they manipulate the pole arms using a crook in one of their legs using the other three to stand and move. They seem to be able to swing them and point them freely. This seems to be the weapon that is easiest to use for ponies and as an aside if someone wanted to make pony fire arms this would probably be a good model. Looking at the development of human guns we find European Hand Cannons/Bombard which could be easily inserted since it can be manipulated like a pole arms and fired with a ignitor held in the mouth. If one wants to create more advanced fire arms for an RP or story this model is a good starting point and taken to it's logical extention one my find fire arms like the one seen in Equestria Prevails' Thunderclapper created (Equestria Prevails also featured a Hand Bombard in 'Goldencloak Sentry').
The other use of Pole arms was attached to armor as seen in The Crystal Empire - this use has the advantage of speed and balance but the pole arm can't be manipulated well and the pony is limited to charging.
And on to the Sword:
Presumably under the guard there is some sort of cup that locks on to the hoof. This is probably a skill which is uncommon among ponies as it involves a whole lot of balance since the sword pony has to remain upright on their two rear hooves while attacking and dodging. Use of the sword in this manner probably requires a bit of training to be of any remotely effective use.
In the comics Majesty possesses a magical sword however she doesn't use it herself - instead she gives it to a human prince to use on his own quest.
In the 2nd Cartoon's 'Slumber Party' we have Squire a knight in training has a sword but never unsheathes it in ether living or ghost form (in fact he purposely does not want to use it).
In A Canterlot Wedding there are swords on display but are not used.
One more example of Sword use in MLP is from G1's The Prince and the Ponies:
In this use of the sword the handle is gripped in the mouth and swung using the movement of the head. This is probably the most practical way for non-unicorn ponies (or exhausted/magic-less unicorns) to wield a sword.
And now we get into the issue of Firearms. The one type of possible firearms we know Equestria might have in G4 is cannons as evidenced by Pinkie Pie's party cannon.
Departing off to Fanfics for a second the best weapon use I've seen has been in Fallout Equestria however there are much more advanced firearms then we are dealing with in most pony settings as they were developed during a 20 year long war. However the mouthgrip seems to be a useful option here although there maybe a issue with kickback in the early models.
Examples of mouth grips:
f1r3w4rr10r's Mouthgrip Concept.
Fo:E also brought out battle saddles which often use a reign like mechanism to fire attached weapons.
Ex: A sniper system with the foldout rifle unfolded with a tail ring mechanism and operated by a mouth trigger.
Basically the point of all this is that for weapons we need to think outside the box a little since most human-style weapons are designed with hands in mind and most are ether unwieldy or need to be modified by before use by ponies.
A few more ideas I have seen that take advantage of how ponies would fight have been:
Hoof claws - Clawed/bladed shoes/cups for ponies to wear.
Wing blades - Blades which attach onto wings for pegasi,
Tail blades/weapons - Blades or weapons that attach to the tail and/or which encase it. Could be a mace, a blade, or other object.
Metal horns - Ether reinforced for unicorns or attached to helmets for non-horned races.
So yeah, colorful talking miniature horses with weapons.