In the comic, Hellboy uses a revolver, but he is frank about being a lousy shot and prefers more traditional, short-range weapons like swords and spears. In addition to firearms and traditional weapons, he also has great strength and has been known to rip up trees and lift boulders to throw at his enemies. He lacks formal combat training or education, but he makes up for this through years of working as a paranormal investigator and having great strength and mystical abilities. He is virtually resistant to burns of any kind and generally does not get injured by firearms. On the other hand, he can get injured by swords and other traditional weapons.
In addition to his physical prowess and skill in weapon use, he also knows many magical and arcane languages and is able to practice necromancy through summoning the dead. Hellboy, because of his Right Hand of Doom, also has the power to bring about the end of the world, if he chooses to do so, though luckily for the human characters, he choses not to does as such. As a result, he does not use guns much.