Physical Damage Types
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Physical Damage Types are a common mechanic seen in gaming where, as the name suggests, 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. Elemental Damage Types is the more fantastical counterpart, but has a similar basic premise.
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. As with Elemental Damage Types, the division is used to add a little more tactics to the process of killing enemies. Direct vulnerability to physical damage is much more rarely seen than elemental vulnerability, but plenty of creatures resist or are outright immune to specific damage types. One of the most iconic D&D examples is the humble skeleton, which typically takes reduced damage from slashing and piercing, due to lacking organs and soft tissues to shred, but full damage (if not bonus damage) from bludgeoning, because the exposed bones are comparatively brittle and easy to shatter with a good solid whack.
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 FFG Warhammer 40,000 Roleplay games stick with assigning weapons with Explosive, Energy, Impact and Rending, with Explosive largely focusing on 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.
The mechanical difference between these is that some of these weapons have differing crit effects. As an example, an energy crit damage of -1 to the body means that you can only take a half-action on your next turn, while the same damage from a rending weapon has absolutely no effect at all if you have armor. However, an energy crit of -5 to the body knocks you prone and forces you to avoid catching on fire on top of a Toughness test to avoid being stunned for a round, a similar hit from a rending weapon makes you bleed out with temporary Toughness damage while anyone walking near you (the definition of "near you" being something your GM can exploit for his own benefit) has to make an Agility check to avoid slipping on your blood and guts.