Generally, you'll want at least one weapon from each of the first four categories, at least until you get a good feel for the game, around the time you complete Professional for the first time. There are five categories: Handguns, Shotguns, Rifles, Magnums, and Other. Each weapon falls under a different category, depending on the class of ammo it uses. While I will share my opinions of these weapons, they should not be the deciding factor when it comes to what you'll run (unless it's 'here's why this weapon is complete garbage for most of the game', in which case please take my advice if you're new to the game you're free to ignore it, as it merely serves as a warning, but it's REALLY not recommended). I want to make it clear that most of these weapons can be useful to the right person.
In this guide, we will be taking an objective approach towards picking your weapons, something which most guides toss out the window in exchange for their opinions.