The difference between GUN's vehicles and mechs mainly comes down to weaponry. While almost all of them have some kind of weapon, vehicles are not designed specifically for combat. For the most part, vehicular weapons are more of a defense than an offense. The exception is the Fighter Series planes, known as the Blue Eagles, which are just as efficient with attacking as they are with defending.
GUN's vehicles, for the most part, are pretty standard. Most of the time they're left to the usual cars, planes, and helicopters, but the occasional motorcycle and aircraft carrier turn up every now and then. They seem to have a problem with leaving keys in the ignition, however, as Shadow the Hedgehog was easily able to "borrow" several GUN vehicles as he pleased during the Black Arms invasion. It's still uncertain how he was always able to reach the pedals.