What is the significance of the statue given to Hank?

The statue Hank receives from one of his colleagues is that of Jesús Malverde.

Jesús Malverde is the patron saint of drug dealers. Hes not recognised by the catholic church but is very popular among some cultures especially Mexico.

The agents keep the statue in order to get into the mindset of the drug cartels. This fits in the phrase of 'know your enemy'. Hank was surprised to see the statue on the agents desk and even comments on it being strange.

I believe its significance is that it shows that Hank has stepped into a different world. The agents think differently here and take their enemy very seriously. Hank has a different view on criminals to these guys. This is shown in the motel room with the co-operating gangster played by Danny Trejo where the agents are listening to his demands. Hank can't see the sense in this and jumps in and threatens him to no avail. He's not in Albequerque anymore. He's stepped into a more dangerous world and he maybe out of his depth.

The significance is actually explained in S02E07 Negro Y Azul. Transcript here

Hank: Hey, what's up with that? (indicating the statue of Jesus Malverde)
Other Agent: Jesus Malverde, patron saint of Mexican drug dealers.
Hank: Well, yeah, hell, I know who it is, okay? Scumbags kneeling down praying to him.
(mimicking a mexican accent)
"Please, Senor Saint. No DEA, please."
I'm just-- I'm just saying, why's he on your desk? Going after neo-Nazis, you don't wear swastikas, right?
Other Agent: Sun Tzu.
Hank: Son who?
Other Agent: Sixth-century Chinese general. Wrote "The Art of War".
(quotes from Sun Tzu "The Art of War")
"If you know your enemy as yourself you'll fight without danger in many battles."
Hank: Right on.

I am almost positive your question isn't... accurate. I believe you're combining the 2 statues that were on Hank's desk. Originally, he was given a statue of Jesús Malverde, as noted in the answer above. No need to go further on that.

After Hank showed ignorance of Jesús Malverde, one of his colleagues exchanges statues with Hank, and he is given a statue of Sun Tzu, the Chinese military General and author of The Art Of War. One of the more famous quotes from that book is, “To know your Enemy, you must become your Enemy.”

A statue of a saint isn't likely to have any reference to one's "enemy", as that would go against the concept of Sainthood.