Basically, I am looking for where someone/group/etc.. gets sent or goes to a fantasy world. These people would then bring with them their weapons that does not exist or is more advanced than the weapons in the fantasy world.

For example:
Drifters
Gate - Jietai Kare no Chi nite, Kaku Tatakeri
Zero no Tsukaima

Any recommendations would be good.

Outbreak Company - Moeru Shinryakusha Has a pretty awesome anime too

Yeah. Saw the first few episodes, but I lost interest in it later. Maybe I should take a look again.

It doesn't live up to the potential that the story had, but still it was fun. Should give it a shot again.

Ore ga Heroine o Tasukesugite Sekai ga Little Mokushiroku!? applies in an arc

If you read novels you could give "A step into The past" a try. Its a really long novel in which a special forces soldier is sent back in time.