I've written some threads about this before--I think there's even a listing on the suggestions voting tracker--so I'm definitely in agreement with much more complex weaponry.
I only really see polearms (spears, halberds, etc.) being made in separate pieces (half/head) though, and even then, only the lower quality ones which I don't see dwarfs being that interested in. Requiring a log of wood would be nice for them, though, and other weapons might require a separate bar of metal, or some other material, for the haft, pommel, wrapping, etc.
It would also be nice to allow for separate parts of a weapon to be decorated separately. For instance, adding multicolored silk ribbons or a dyed tassle of horse/beast hair to the head of a spear. Or placing a large gem into the pommel of a good sword (a nice use for all those big cut gems out there), or just a heavy metal skull-cracker.
There's a ton of variation that can be done to the blades of even the same basic sword/knife type. Blood grooves, serrations, forked points, engravings, folded blades of different kinds of iron/steel, a heavier "swordbreaker" back, acid treatments and other forms of quenching, lighter and heavier overall blades and custom balancing, just an endless variety.
With other weapons, there's even more options, and you can add such things as spikes, hooks, various different types and shapes of heads (and two entirely different heads on the same weapon, with warhammer, battleaxe, and pick heads), the list goes on and on. Maces are almost infinitely customizeable, and can be formed out of everything from simple hardened clay, to fine steel, to the bronzed skull of an enemy.