Knives are a common type of weapon used by supernatural hunters. Sam and Dean have knives in the trunk of the Impala. John Winchester had a knife as well. Vampire hunter Gordon Walker also had a knife.
Knives come in all different sizes and can be used for a variety of purposes. Large knives - known as machetes - are typically used to kill Vampires or decapitate Leviathan. Smaller knives can be used to draw blood in rituals that require blood, for example, creating an Angel Banishing Sigil or using the Goblet of Blood. Silver knives can be used to kill certain creatures such as Wraiths, Vetala, Werewolves, and Skinwalkers. Brass knives are the only thing that can kill a Rakshasa.
Sam and Dean also have smaller pocket knives. Sam's is seen in Exile on Main Street. Dean's appears when he uses to cut a piece of ham in I Believe the Children Are Our Future. He also carries a concealed knife, as shown in Nightshifter, when he is searched for weapon during a hold up at a bank. Jo Harvelle carried knives with her to protect herself with when she went to school.
Hunter and Pastor Jim Murphy owned a special knife engraved with religious sigils. He threw this knife at Meg in Salvation. Meg caught the knife, so it's unknown what kind of powers it had. However, it is likely the blade was designed to kill or harm demons.