Raygun
The Raygun is the first weapon Commander Keen encounters on his adventures (though judging by his remarkable aim, evidently not the first weapon he has shot). Keen finds it on Mars in Keen 1, always next to a sign in SGA saying "This is neat". The Raygun shoots purple energy bolts, and will kill enemies.
Keen has a Raygun at the start of his adventure, suggesting that it is possible he invented a gun compatible with Raygun ammunition, or picked one up on his travels through Mars. It is not known what the Rayguns scattered across Mars are used for, but it can be assumed that they are for the use of the Vorticon Guards stationed there, even though they never shoot at Keen.
Keen dumps his Raygun after episode 1, using a Vorticon HyperPistol for Keen 2, a Pistol in Keen 3, and later a Neural Stunner.