A massage gun usually ships with four to nine heads. Most people use one and ignore the rest, which is a shame because the differences are real.
The ball head
The general-purpose attachment. Broad contact, moderate pressure, safe on most large muscle groups. If you only ever use one head, this is the sensible default.
The flat head
Spreads force over a wider area with less penetration. Good for areas where you want coverage rather than depth — the shoulders, or across the back.
The bullet head
Concentrated pressure on a small area. Useful for a specific knot, and easy to overuse. Short bursts only, and keep it off bone.
The fork head
Designed to straddle the spine or an Achilles tendon so the pressure lands either side rather than directly on top.