The heavier the weapon, the more damage it does but the less often you can fire it. For example, the chain gun does more damage than the machine gun. I usually opt for the heaviest weapon loadout available. As for particular weapons, I tend to use the 20mm cannon, or 70mm if available, because I like the knock around affect it has on enemies. The homing missile can also be very powerful since, once you get a lock-on, it tracks the target down.