The Big Baby is an oversized, six-round gun. It contains small rockets which causes a small explosion. Due to its size, Hellboy has to carry the weapon with both hands. But in the Hellboy II film, Hellboy can hold it with the Right Hand of Doom. It was used against a Forest God. As it is shown in the Hellboy II film, it fires two rockets at a time.
The only known rounds are small rockets. If the movie is paused while Hellboy is loading the gun you can see that where normally the caliber of a bullet is said, it says "suck on this".
In the second volume of the Hellboy series he used a large semi-automatic pistol (developed by the sinister Zinco company) that quickly explodes in his hand, presumably due to sabotage. In "The Wolves of St. August" he is seen carrying a bizarre looking gun of unknown specifications. He also has a Good Samaritan as his main weapon.