The scalping knife was a ceremonial weapon used to cut the hair, along with the scalp of the head, off the enemies of the Apache and Comanche native americans. This practice was done to commemorate victories. These knives were usually made from stone and bone. Crazy horse also used scalping knifes.
In the show, this is the special weapon of the Comanche warrior. Because the Comanche were horsemen, they didn't develop knife fighting skills similar to Apache knife fighting and so the Scalping Knife was more used for Scalping than actual combat.
It was also the Comanche's weapon with the lowest kills. (3)