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You get the duble shotgun in Mission 9, and it is a pretty adequate weapon on medium difficult (and outdated in Impossible).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 Gets outdated quickly though.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.