A lance is a weapon (and also a name, but traditional games are usually more interested in the weapon). The weapon is popular in fantasy settings, particularly with western cavalrymen and knights, such as the knights of Bretonnia.
Historically, lances are large pole weapons employed by mounted warriors called "lancers". Unlike traditional weapons, a lance is a heavy pointed pole, which was meant to be a disposable assault weapon to destroy armored enemies (usually, armored warriors and shield formations). Due to its heavy weight and the power of a war horse behind it galloping at full speed, the lance is easily capable of penetrating (or crushing through) most personal protection at the time. In most cases, a lance is a long, thick wooden pole with a hard metal tip; to aid in stabilization, a conical metal guard called the "vamplate" is installed, which helps in keeping it steady and also preventing the user from accidentally dropping it once the lance makes hard contact with a surface.
The weapon itself is quite heavy, its incredibly unwieldy for non-mounted infantry to use it in any capacity compared to other alternatives, and even mounted lancers couldn't do much with it once the cavalry charge concluded as it's large size and weight made it unwieldy for close combat. There's also the problem that the intense amount of force from a full-speed charge will typically cause the lance to warp or outright shatter on impact if it hits a hard target, hence "disposable". Strictly speaking, lances are never thrown (they aren't meant to be, anyway); they are carried under the arm of the wielder. A thrown polearm is more properly called a javelin.
The lance charge of heavy cavalry was a mainstay in medieval Europe, as it could easily devastate ranks of soldiers. However, the invention of Italian Pike formations and guns severely hampered this tactic, as lancers could not easily force their way through a well-disciplined lines of pikemen without taking significant losses and the gun's ease of use and high penetrating power meant a cavalry charge could be easily stopped by a well-timed gun volley.
Another historical use of the term "lance" refers to the "lance fournie," a formation of an armored horseman and his retinue. This is the closest medieval equivalent to a modern squad, since a knight would be accompanied by various armed retainers typically including a noncombatant page or squire, as well as light cavalry, infantry, or archers, though there was never any sort of standardization as to the size or composition of such formations. About 100 lances would form a company.
Remember to boil your lance before you lance your boil. (It's a medical joke, look it up.)
Imperial Guard Rough Riders carry "hunting lances" which generally fit the traditional pattern, although they have added an explosive charge to the tip. Each Rider only gets one, though -- evidently, Riders and horses are cheaper than hunting lances.
Warhammer 40,000 also has a "Lance" special rule which applies to some weapons: a weapon with the "Lance" rule treats all armor values greater than 12 as if they were 12 (which is useful for penetrating the armor of Land Raiders and Monoliths).
In Battlefleet Gothic, lances are giant laser turrets the size of apartment buildings and a few football fields wide and long. Known to fuck all kinds of shit and ruin everyone's day. Its barrels are so fucking massive they could fire three story houses if needed. Mainly fitted on Imperial Navy ships and traitor fleet ships. Eldar have something like lances too but they aren't filled with hate like Imperial ones.
Lances come in 3 fun sizes, single barreled to triple barreled. Doubles and triples go on anything larger than a battlecruiser.
The 'Lance' beam itself is a concentrated laser filled with FUCK YOU AND RAGE which is known to one-hit anything smaller than said battlecruisers. The Imperium also built the Apocalypse-class battleship with lots of lance turrets, in fact fires those turrets as Broadsides.
These are what make cavalry hurt on the charge. Grant +2 strength when charging.
| Battleaxe - Dagger - Lance - Mace - Club |
Pole-arm - Spear - Sword - Warhammer
| Blowgun - Bows and Arrows - Cannon |
Crossbow - Firearm - Rocket - Shuriken - Sling