This article is from the Final-Fantasy and other Square Soft Games FAQ, by firstname.lastname@example.org (Nick Zitzmann) with numerous contributions by others.
Here's a mini-guide to what the various weapon effects do...
Rate of fire: Determines how many munitions can be fired during one
turn. Having high rates of fire is fun, but lower rates of fire actually
do more damage per munition fired. The amount of damage done by a weapon
per munition fired is greatly reduced if the rate of fire is increased,
so be careful about modifying this attribute.
Burst: Used by every shotgun. Some of the damage done to one target may
also affect a nearby target.
Explosion*: Used by the more powerful shotguns. It's a more powerful
version of Burst.
Scatter: Used mainly by machine guns. With a scatter gun, the gun will
fire at random targets inside the gun's range.
Double Turns: The two-gun icon indicates the gun allows Aya to act twice
in one turn without any damage penalty.
Triple Turns*: The three gun icon indicate that Aya gets three
1st: Weapons with this icon will allow Aya to always strike first (that
is, her charge meter is always full at the beginning of every battle).
Critical Hit Rate Up: Self-explanatory.
Tranquilizer Rounds: Usually associated with grenade launchers. These
kinds of rounds cause certain monsters to be temporarily numbed.
Acid Rounds: Usually associated with grenade launchers. Rounds will
contain acid, and do bonus damage to monsters vulnerable to acid. It
makes the launcher useless against acid-based monsters.
Flame Rounds: Also associated with grenade launchers. Rounds will burn,
and do bonus damage to monsters weak against fire. It makes the launcher
useless against fiery monsters.
Ice Rounds: (You get the idea by now, don't you?)
Cyanide Rounds*: This comes from one of the most powerful M79 grenade
launchers. The lethal cyanide from this weapon will randomly do
**TREMENDOUS** damage (500+ points) to any non-venom-producing target
(such as snakes). Note that the cyanide option doesn't make the weapon
useless against venom-producing monsters, but the cyanide damage will
not kick in.
Steal: Clubs 2 and 3 can steal items from the enemy. This has a slight
penalty on weapon strength.
Super Steal*: The highest of high level clubs can steal items from the
enemy with no weapon strength penalty.
Note that it is impossible to modify rocket launchers and Maeda's Gun.
You can only modify a club using another club.
* = Only available in the EX game, inside the Chrysler Building. (See