Yeah - GAME had the gun, which came with pre-orders of Bayonetta the standard game.
However the gun came in a plain white box and not the full coloured art.
Play.com had the Climax edition which was the Artbook and Soundtrack and the same as AUS version without the gun of course.
If you pre-order from HMV you got an exclusive DVD of ‘Manga’s Leading Ladies’ ,featuring full episodes, trailers and exclusive clips from Manga's series and films.
Source:
Sega Blog