A gun... That shoots shurikens and lightning!!! (Painkiller) Also, that stake-launcher with an inbuilt grenadelauncher would be kind of nice (same game).
Aside from that, I'd like every weapon and piece of machinery from Warhammer 40.000: Dawn of War (not because of the games sake, but because im a huge buff of Warhammer 40.000 in general, so gimme mah bolter!)
But to ask for something more reasonable and more or less realistic in-game item I'd like to have that push-dagger that Kane sports in Kane and Lynch: Dead Men. It looks insanely comfortable to wield in comparison to normal push daggers, and that fingerloop grip makes it possible to wield a two-handed weapon while keeping the knife really close at hand. Quite the utility weapon!
I've actually searched the web for push-daggers with a sort of fingerloop grip like that but I have yet to find a manufacturer that makes one. Im thinking of perhaps manufacturing one on my own the next time I go to my familys country-home (where we have a reasonably useful machine-shop), since I've acquired a few bits of steel used to make industrial springs (pretty good grade steel in other words, that would be suitable to make a knife out of).
Also, I just want to add that I find that the "buster sword" fron Final Fantasy 7 (and the one in Advent Children) is probably the most ugly and blatantly dysfunctional sword I have ever seen...