In no particular order:
Spur is obviously, from a practical standpoint, the best gun. It doesn't have the same damage per second as the level 2 blade, but it kills all the others in that category and it is THE safest weapon to use in the game, since you only have to line up for a shot once every few seconds and can dodge the rest of the time, while the blade requires you to stand still two inches in front of your opponent (or on top of them). But after you've played with it some, the spur becomes kinda boring, since if you have it you always use it for everything.
Blade's kinda cool. I usually leave it at level three just out of laziness--screw DPS, I don't wanna be worrying about crystals in the heat of battle and destroying projectiles is kinda handy. Still does decent damage against most bosses, and kills most enemies in one shot. Also, I don't feel comfortable with the "take a hit, stand on top of them and cut away" strategy, which simultaneously feels like cheating and is hard.
Machinegun's a LOT of fun, and one of my favorite weapons. Shame getting it makes the late-game so much harder by blocking off the spur.
Fireballs are fun. Aside from the already-mentioned sniping, they have the best non-missile DPS until the end of sand zone if you skip the machinegun, as long as you stand close to the boss. Oh, and since it was being argued about earlier: 3 damage and two balls at level 1, 6 and three balls at level 2, and level 3 doesn't raise damage at all but gives you a fourth fireball.
I despise the snake. It sucks. Both the alternatives have much better DPS and are more accurate due to shooting faster shots, first of all. The snake won't stop projectiles like the machinegun (or if it does you'll wish it didn't since you lose more than you gain) or charged spur, and requires constant offense unlike BOTH alternatives (machinegun needs to let up to recharge sometimes too). Given its other features it feels like it ought to be super-accurate, but instead the shots wave around and move slowly, making it near-impossible to shoot, say, Misery or Ballos 2's eyes. Shooting through walls is useless outside hell, due to level design that does not provide any uses for it ever, and unless you're speedrunning having something good against the bosses is more important than having something to make the easiest quarter of the level easier. Mostly, though, it's slow as hell without the power or accuracy to make up for it.
Missiles are odd. There's a small subset of bosses against whom the missiles are quite valuable--Pooh Black, Monster X, the Core (especially if he decides to be a jackass and hide behind the wall the entire fight where nothing else can hit him (/fume)), both Doctors and Ballos. Perhaps they could be nice in certain levels where you know you don't gotta save them (it does have excellent range and decent damage output), but I don't use them for that and on most bosses they're duds.
The bubbler is nifty in a gimmicky sort of way. It's great in Sand Zone if you're skipping the machinegun, and can be handy against the core depending on your arsenal or Monster X on a 3HP run, and it is effective against the flying Gaudis, but otherwise it's useless against bosses and unnecessary against normal enemies.
Until recently I sort of didn't think much of the nemesis. Recently being when I tried the boss rush mod (specifically nonstop mode). That's when I noticed just how much damage it lets you do per second without getting in your enemy's face.
I like chargable weapons, because you can charge them when going to next "sector".
