Most of the weapons that were truly important in WWII had already been invented by 1939. However, there were some major developments in military technology during the war.
The most important of these developments, for the war and for the future world, was the development of the atomic bomb. The atomic bombs brought an end to the war without an invasion of Japan.
Another very important development (though it did not affect the war) was the German development of jet airplanes. The Germans did not perfect them in time to make enough to matter, but this technology became hugely important after the war.
Finally, there were developments by the Germans in rocket technology. The V-2 rockets launched at England were the first long range ballistic missiles in the world. This invention helped give rise to the ballistic nuclear missiles we have today (as well as to rockets used for peaceful purposes).