The scalping knife was a ceremonial weapon used to cut the hair, along with the scalp of the head, off the enemies of the native americans. Apache, Comanche, Lakota, Mohawk, and many other tribes performed scalping. This practice was done to commemorate victories. These knives were usually made from stone and bone but sometimes were made of metal imported or bought from American merchants.
Contrary to popular belief; scalping began with European settlers who scalped Native Americans to claim bounties. The Natives adopted scalping in response.
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)