I play 2 reloaded, but seems by sources all games in the series have the same item-pool.

Pistols
On medium diff they are ok, but on impossible they are mostly useless, especialy after you get into the car.
They are all single projectile weapons. The prototype traded at the start of mission 4 is pretty useful for a time, I suggest get that over the implant at the start of mission 3. Thispistol is never soldinthe shops.
Some weaker ones don't use ammo, you get the flash pistol after mission 1, which can be used as a flashlight if you are cheap. Or for a Brawler to crash crates. But you won't survive as a Brawler after a couple of missions...

Shotguns
They have the old buckshot projectile, and are good crowd-control, and big-enemy defeaters.
Sure, some have aiming issues, but with automatic fire that won't matter much (I'm speaking about the Jackhammer).
You get the duble shotgun in Mission 9, and it is a pretty adequate weapon on medium difficult (and outdated in Impossible). This weapon is not sold in the shops.

Mini- and Machineguns
Nothing new here. With higher tear weapons you usualy get a stronger variant, but they'll never be your prime tool. They help clearing crowds, and they don't eat up your ammo as fast as you'd think, but I feel there are better options in reloaded, where weapon-skills do not exist.
Still watch out for firing rate and accuracy of the weapons. And as soon as possible, do not use mini-uzi because that's a waste of ammo.
Either way, they need range to work.

Greande- and Rocket launchers
This category mostly sucks for they low firing rate, lack of damage, lack of DPS, and in case of RG-5 timer on the ammo instead of blasting on impact.
The M79 is a good starting weapon though if you pick that character. It is strong, blows on impact, and has an ok firing rate. Gets outdated quickly though.
The ones with the aiming systems are which actualy worth it, and you'll get the lower tier one for free, so skip this class. Ok, Vampir is a good straight weapon with good firing rate and massive damage - it can defeat those annoying plasma- and rocket-monsters. The mega-monsters in über-armor are still a problem. Benefits from accuracy-implants a lot - suggested to have an implant with high STR to pick up ammo, and high HP + ACC to fight.
NOTE: it might be, that grenades and rockets are two different ammo type, grenades being much rarer.

Flame and energy weapons
Now here are the interresting stuff.

Burner: totaly cheap, does not burn your ammo, excelent in Mission 2 with that secret door filled with overpovered raptors. It gets outdated mid-game.
Flamethrower: I don't feel the urge to use this one.
Laserpistol I: nah. It's a pistol using rare ammo, so double nah.
Laser pistol II: still seems weak.
Laser Rifle (GP-53): you find one, and in medium it is useful when fighting alongside the security bots wich like to block your way as it is moderatly strong, and shoots single projectiles rapidly. Well, on normal difficulty. It is entirely useless on Impossible. Has very slow firing rate, and lacks damage.
Ion Rifle: it is like PR-1500, but with slower firing rate.
SL-2000: it seems a further improved version of the laser gatling. Fater firing rate, more damage per shot.
G-5000: I think this has AoE, but the firing rate is of a rocket launcher, so not good.
PR-1500: it is like the Laser Rifle, but with rapid fire.
5-G,aka. plasma desintegrator: big hits, slow firing rate (ca. of the prototype pistol, so I think this is equaly goes out of fashion soon)
Laser minigun: remember I said ion rifle probably does not worth it? Because I saw in a video what it does, and pretty much the same as the laser rifle.
Freeze-gun: it does NOT instantly freeze stuff. It is in all practicality an annoying flamethrower, which FEEDS on ammo. Do not use, if you don't have to.

freeze gun work same as in AS1 - it freeze on some HP level of alien monster, but do damage if alien have 100%. Theoretically u need less ammo to kill same monster with freeze gun.
Most powerful and interesting weapons - energy weapons and rocket launchers (both with huge splash dmg area). Later in the game. Machinegun on most levels.

Actualy, I found other weapons more effective than SMGs/miniguns.

On lvl 1-2 where you can't afford anything, not even a flashlight Mark II (best light source if you ask me), especialy not a good-enough accuracy, shotguns are usualy better, with the exception of hugh crowds on mission 3-4.
The prototype pistol is very strong, I used it a lot.
For mission 3's extra hard room of raptors, used the Burner, also useful during mission 4-5.
From mission 5 to 9-10 my main weapon was combat shotguns,because they deliver way better punches, and ammo is plentyful for those. There are no machineguns which would have enough punch to get you through the beggining of mission 5.
From mission 9-10 my main weapon turns to be rocket launchers. On medium SLR 500 is enough (auto-aiming system), while on Impossible Vampir is much more convenient (no aiming means you can directly hit teleporters, and the firing rate is excellent).

For the final levels (13+) the plasma gatling has kicker punch. Finishes the biggest monsters faster than any machinegun could.

Thank you!!

Now I finally got the Prototype ET5 Pistol. I actually thought they forgot to put it into the game. I explored every corner in the game, found every secret and monster, but never this pistol. It's absolutely not evident, that you must not give the cigarettes to the soldier in mission 3 but spare them for the soldier in mission 4. And that this is the only chance in the game to get this weapon...

Though after using this pistol I find it quite underwhelming. The rate of fire and reloading time is so slow, that it's unusable against multiple enemies. Eventually it's also outperformed by other pistols later on. Yet it's nice to have experienced this weapon once.

Weapons kinda needs to be upgraded to a better class to be useful. It's a weakness of the series I think.