Physical Damage Types
Physical Damage Types are a common mechanic seen in gaming where, as the name suggests, attacks attacks of different physical natures inflict different kinds of damage. This actually has its basis in real life; as anyone who's studied medicine even casually can tell you, different kinds of physical trauma affect the body in different ways - hitting someone with a rock damages them in different ways to stabbing them with a pointy stick or ripping them with claws. Not all games use the system, but because it adds a bit more tactics to the issue of basic combat, it's common enough.
Dungeons & Dragons is a particularly good example, traditionally dividing physical damage into Bludgeoning, Piercing and Slashing - Dungeons & Dragons 4th Edition is the only exception to this.
Weirdly, giving guns their own physical damage type is very rarely seen in gaming of any kind, though D&D and Pathfinder go with splitting the damage between Piercing and Bludgeoning.
The Warhammer 40,000 Roleplay games stick with assigning weapons with Explosive, Energy, Impact and Rending, with Explosive largely focusing on explosives grenades and explosive rounds like bolters, Energy focusing on Flamers, Plasma and other energy-based weapons, Impact being for any bludgeoning weapons as well as solid-round weapons like autoguns, and Rending covering edged weapons like chainswords and sharp projectiles like bows.