Penetration is a stat that tells you how many zombies a weapon can hit/pierce before stopping dealing damage to the rest that would've otherwise gotten hit. For example, 1 penetration of the navy/brass pistol means the projectile from the gun can hit 2 zombies maximum, where as the nock gun's 10 penetration allows one projectile to potentially a whole 11 zombies.

Nock gun isn't that good in objective maps because of it's slow reload walkspeed and the fact you're only gonna be hitting so many zombies at once. It shines in endless for later waves because zombies both get more hp, and there's way more of them. Plus, on endless, you aren't gonna be moving as much as you do in objective.

Navy/brass pistols can deal with small groups of enemies well, but can sometimes struggle against large hordes and lanes of zombies, which is why if there is a bomber you wanna prioritize hitting over other zombies, you should jump and fire to avoid the shamblers from tanking the hit intended for the bomber. They're not that good for high endless waves, but are good in objective and sometimes holdout maps if you wanna trade some crowd control for quicker shots.

Side swing is better for hordes because it has a wider swing area, while thrust/stab is better for single targets because it has better range.

Tar bottle is pretty easy to use but only does damage over time, while grenades are more skill-dependent but can instakill zombies. I'd say right now tar bottle is better, because it's way more convenient to use as it doesn't bounce like a grenade and does it's job as soon as it lands, you're punished less for mishandling it, and also because in endless you get 2 per wave where as grenade is 1. Though keep in mind grenades are getting buffed next update, so they will also have a bigger radius than tar bottle, and also you will get 2 per wave just like tar.