In which game?
As for me, I like:
Half life 1: Magnum, Gauss Gun, Crowbar(less for utility and more for nostalgia), grenades.
Half Life 2: Gravity Gun(basically can use anything loose as ammo or a shield), Combine Assault Rifle, Rocket Launcher, Bug Bait.
System Shock 2: Assault Rifle(due to stopping power), Grenade launcher(variable ammo types), Wrench(though also crystal shard if/when able), Stasis Weapon, Worm Launcher(works well in the endgame).
Duke Nukem 3D: Shrinker(expander as well...both are fun to use), Mighty Foot(unlimited uses plus nostalgia), Chaingun(the one with three barrels), and both the RPG/Devastator.
Those are just some of my favorites.