GP....
I dont know where to start.
Okay.
Grey knights are elite space marines. They dont have a home world for recruiting. Their recruits are all psychic and only one in a thousand make it through the training.
They have super weapons because of their task and their training. Their minds are inpenetrable by chaos, so they are very valuable to the Imperium. Which is why they get the nice weapons.
Like already mentioned, the Grey knights book, and the other two in the omnibus really give a good insight of how they work. They also show that chaos and daemons can be anywhere so there is ample opportunity for the grey knights to meet evil guardsmen or eldar or whatever.
Also the daemonhunters codex actually had two pages of reasons for why the daemon hunters should be fighting every race, a nice detail.