Each of the five weapon styles (blunt, pierce, slash,ranged and barehand) may be practiced in order to improve your skill in that style attack. An unproficient person has a good chance of making an error when he uses that type weapon. Errors such as hitting yourself, hitting the wrong target, or just missing all together are common when you aren't proficient. By contrast, the expert has a better chance of hitting, and is also able to direct his shots toward more "critical" spots. Critical blows do upwards of twice the normal damage as a regular blow would. Any fool can use a weapon, but it takes training and practice to wield a weapon well and not be more of a danger to yourself than your target.
See Also: Weapon specialization