A Lance is a weapon (and also a name, but traditional games are usually more interested in the weapon).
Historically, lances are large pole weapons employed by mounted warriors. The idea is to convert momentum directly into penetration, especially for piercing armored opponents. Basically every fantasy setting with western cavalry ever has lances of this type, such as the knights of Bretonnia. The lance charge of heavy cavalry was a mainstay in medieval Europe, until infantry wielding Pike and Shot forced cavalry to adopt new weapons and strategies.
Compared to a spear, a lance tends to be too large and heavy to use on foot, and has a circular metal plate near the handhold to keep the hand from sliding up the shaft upon impact. They also tended to be single-use weapons, since the wooden shaft tended to splinter apart once it struck a target. 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.
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.
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 |
Pole-arm - Spear - Sword - Warhammer
| Blowgun - Bows and Arrows - Cannon |
Crossbow - Firearm - Rocket - Shuriken - Sling