If you're looking for the weapon most capable of ripping Zombies to shreds then you need the Thrustodyne Aeronautics Model 23. The only problem is that it has a limited lifespan before it blows up. You can rebuild the scattered parts into the same weapon though!

What you need is the Jet Engine, Handle, Headlight and Wires.

The Jet Engine is in the tunnel that you enter before the restaurant, between stops 4 and 5 of the train.

The Handle is in the Nacht Der Untoten section between stops 3 and 4 on the train.

The Headlight is in the cabin before the town, the same cabin that has the bowie knife.

Finally the Wires are in the same place as the Electric Trap at the Power Station. When you are at the upper section drop through the broken part of the walkway to find the Wire on the ledge.

Only one team member can have the Thrustodyne Aeronautics Model 23 at once.