Gun types are for larger electrical/wire type work(>80-100 watt), pencils are for small PC board type electronics. (<80 watts)
Weller makes pretty good stuff and replacement tips are readily available.
All tips wear out. If you tin them and clean them, they last longer, and can even often be filed down and retined a couple times.
Harbor freight has a gun type that looks like it takes Weller tips for under $9.
http://www.harborfreight.com/cpi/cta...temnumber=4328
I haven't tried one of the "cold heat" ones, but they have those for $11.
http://www.harborfreight.com/cpi/cta...emnumber=91298
Radio shack has a bunch of choices including a 30 watt pencil for <$8.
http://www.radioshack.com/search/ind...soldering&sr=1
If you are into hardcore electronics, spend $50-100+ on a good variable wattage solder station, but otherwise, go cheap as they are disposable. Tips sometimes cost more than a whole new gun with tips.