The NCIS Armory is a room in the NCIS Building where numerous weapons including various guns are on display.
There are also personnel stationed there at all times who often conduct tests in regards to the weapons or usually clean them as well.
Members also wear blue uniformed coats with the coat giving their name as well as the fact that they're a certified Armorer and that they work for the NCIS Weapons Branch.
Interestingly, the Armory has never been mentioned before and has only made its main appearance to date where it was seen in full and for the first and only time during the NCIS Season 10 episode, Recovery (episode).