In Middle-earth: Shadow of Mordor you can complete legend missions for your weapons, the sword Ufrael, the dagger Acharn and the bow Azkar. The reward is some lore but no stats buffs or other improvements of the weapons.
Killing captains and warchiefs invulnerable to everything: http://wp.me/p1SfP0-1OD
Getting better and epic runes from captains and warchiefs: http://wp.me/p1SfP0-1Oy
All Shadow of Mordor Guides: http://wp.me/P1SfP0-1OQ