That one weapon you always go for in a game.

[Psychospacecow]

True.

I prefer axes for physcial characters, summoners and blue mages for magic users, light machine guns in battlefield (in 4, m249 is like 5 straight minutes of firing w/o reload. Love at first fight) etc.
It is a little hard to pin down one definite thing.

[ClaudX]

If it's melee weapons, I like knives. Small, quick, and concealable. They get the job done swiftly, even more so if you can throw them.

[Beware of Cuccos*]

I like using bows. Every time a new Zelda comes out, I can't wait to get to a bow. And on WoW, nearly every single one of my characters is a hunter. They're just so much fun to me.

[Arjahn]

In Deus Ex: Human Revolution, I remember spending everything to trick out the basic pistol. Something about a super accurate high damage explosive round laser-sighted headshot from a mile away just felt right.