Exceptional weapons don't always appear exceptional stat-wise, but will have orange names regardless. Once picked up you have credit for it, so feel free to drop or sell it at that point. Finding these weapons is completely random, though you can get the scavenger skill for Logan or Jackpot for Purna (in the survival skill tree) that will increase your chance for better loot. The other two characters do not have a similar skill. These can be looted from chests or dead zombies, doesn't matter. Some people report to find 5+ weapons in one playthrough, while others report only one or two. This might be the last achievement a lot of people get. Luckily a trick has been discovered. For more info on this, see the thread HERE.