In every GTA game I prefer using simply a pistol, a regular handgun. Shotguns are fun too, but to be honest, my favorite weapon is the pistol because I never ran out of the ammo.
As my favorite, my choice is the "rocket launcher". This weapon has a large-scale destructive power (which is essential to win this game... at least in my opinion).
As my least favorite, my choice is the "chainsaw". This weapon is small and very limited. Also, it doesn't offer much chance of making losses in the long term.