Spoiler alert: The following section contains plot-specific details.(Skip Section)
Final Weapons are weapons and abilities commonly obtained by Kirby during a game's climax, intended to be used during the Final Boss fight. These are usually incredibly powerful and typically tied to the game's story in some way. Some of them require assembly before they can be used.
Kirby obtains the seven pieces of the Star Rod, which had been broken by King Dedede and guarded by his strongest minions across Dream Land. By gathering them together he is able to repair the Star Rod, and use the power of the Fountain of Dreams to defeat Nightmare.
Using the power of the Heart Stars given in gratitude by the inhabitants of Planet Popstar, Kirby forms the Love-Love Stick. Using this weapon, he once again battles the Dark Matter and eventually fights its core, Zero.
When Kirby goes into the Dimension Mirror, Meta Knight lends him Galaxia (becoming Master Kirby) so he can defeat Dark Mind. Unlike most final weapons, it can be dropped upon taking damage, and is not necessary for victory.
After the battle with Dark Daroach, Kirby picks up his scepter, the Triple Star. He then uses it to battle Dark Nebula in Gamble Galaxy. Like Galaxia, it can be lost and is not needed to defeat the final boss.
Kirby and Prince Fluff celebrate their defeat of Yin-Yarn. Yin-Yarn's knitting needles quickly revive the sorcerer in the form of Mega Yin-Yarn. The heroes panic, but Meta Knight swoops overhead and drops a Tankbot Metamortex for them. Prince Fluff flees while Kirby transforms and fights the villain again. If a second player is playing, Prince Fluff joins Kirby as the Tankbot's pilot, granting the machine fists.
During the first phase of battling Magolor, Kirby has to use three of the Super Abilities in order to counter Magolor. Kirby finally finishes him off with the Ultra Sword, first using it to break the final part of Magolor's barrier, and then landing multiple deadly slashes on him, before drastically increasing the Ultra Sword's size, and ending Magolor's first form with a powerful slash.
During the final battle with Queen Sectonia during Story Mode, she possesses the Dreamstalk, fusing with it and taking over its power. King Dedede and Taranza are able find one remaining Miracle Fruit and Kirby uses it to activate his Hypernova ability. With the Hypernova, Kirby is able to counter all of Queen Sectonia's attacks, spitting the flower buds at others to break Sectonia's barrier, and to inhale Queen Sectonia's laser and spit it back at her.
After Dark Crafter escapes Claycia's sunglasses and flees into space, Claycia and Elline transform Kirby into Kirby Rocket. He pursues the villain, who retaliates by releasing mines from his eye. Kirby Rocket must avoid the mines while collecting 10-Stars, then Star Dash at Dark Crafter three times to defeat him.
After Star Dream takes control of President Haltmann's mind and takes off to obliterate all life in the universe, Susie summons a suit of Invader Armor for Kirby to use. As Kirby gets in and turns it into his Robobot Armor, Meta Knight shows up along with his Halberd. Kirby uses the Robobot's copy beam to fuse the Robobot Armor with the Halberd, becoming Halberd Mode, which Kirby and Meta Knight both pilot during the final battle with Star Dream.
In Kirby games directed by Shinya Kumazaki, Final Weapons are typically abilities or weapons Kirby has used before the final boss fight. Aside from Halberd Mode, which is a new Mode for a machine Kirby used throughout the game, the Starship is the outlier--this can be attributed to Kirby Super Star Ultra being a remake of a game originally made by another director.
Kirby of the Stars Special Ability "Last Battle" Introduction Video