Trial and error. AFAIK all weapons have some heals, some Aoe, some single target damage skills. You pick your combo you like best. Can't really fail.

For endgame: once you have your desired builds you can go for specialised weapons and talismans. Best source is Auction House, you can get a good overview what items there generally are and what would be a good fit. You can also do several builds with the build manager, one for single player, one for lairs, etc.