On some of my weapons there's a little blue hologram on the side of them that's shaped like a bullet (I think) does this serve any purpose or is it purely cosmetic?
It sounds like you're referring to ammo powers. Warp and Disruptor ammo show as purple and blue holograms, while armor piercing and incendiary ammo show as yellow and red, respectively. Also, as Mr. Smooth said, Cryo ammo is light blue.
Even if you don't have an ammo power equipped, squadmates can give the rest of the squad their ammo power at 50% effectiveness, assuming you put points into that skill.
It indicates the currently selected ammunition power that's applied to that weapon, which you can change by selecting a new ammunition power from your Power Wheel. The different colours and icons represent the different types of ammunition powers - incendiary, disruptor, cryo, armour-piercing, and warp. The icons for the first three are displayed below:
As an example of an equipped power, the pistol in the following screenshot has the Incindiary Ammunition power activated, as you can see in the hotkey bar and on the weapon itself:
Note that weapons can only have one ammunition power active at a time - while you or your squad mates may have a team ammunition power active, it will be replaced by any power that is subsequently applied to that weapon instead of stacking.
It's a good idea to do a quick check at the beginning of a mission to make sure the ammunition power you want active actually is, as they have a tendency to toggle off. Since the icon will always be displayed on the weapon when the power is active, it serves as a reminder for this purpose.
The powers are also applied for each weapon in your loadout separately, so don't forget to apply an ammunition power when switching weapons if desired.