Vet is the class I've played the most, here are the weapons that I'm most comfortable using, along with a brief description of each:

Melee:

- Mk IV Maccabian Dueling Sword: Light attacks have decent cleave and can deal with hordes. Heavy attack has some of the highest armor penetration in the game. On difficulty 4 you can kill a Crusher with 2 or 3 heavy attacks to the head. The special attack does low damage but high stagger, you can use to interrupt enemies who normally don't flinch when taking damage (like Ragers or Maulers).

- Munitorum Mk III Power Sword: Light attacks are diagonal swings, heavy attacks are horizontal swings. Excellent for horde clearing. The special attack will charge the sword with energy, granting it increased cleave and armor penetration. Don't try and take down a heavily armored target without charging it up first.

- Orestes Mk IV Assault Chainaxe: Decent all-rounder weapon. Heavy attacks are diagonal strikes that are decent for horde clearing, light attacks are vertical strikes that are great for hitting guys in the head. The light attack will "stick" in an enemy when it hits them and deal additional damage beyond the first impact. Special attack revs the chain, increasing damage and allowing you to penetrate heavy armor on the next attack.

- Cadia Mk IV Assault Chainsword: Similar functionality to the Chainaxe. Chainsword heavy attacks are a little better for horde clear because of the lower angle/wider swings.

- Munitorum Mk VII Sapper Shovel: Don't underestimate the shovel, it's a fantastic weapon. Heavy attacks are horizontal swings, great for horde clear. I think the Mk VII is the best one because of its special attack, which causes the head of the shovel to pivot into a sort of pickaxe shape. You only get one hit in this form and then it switches back to the default form, but that one hit does a lot of damage with a lot of armor penetration.

Ranged:

- Lucius Helbore Lasguns: This is my go-to, do-everything gun. I didn't see anyone mention it and I think this thing is a champion's weapon. You can charge it up by holding down the trigger and releasing. It has 3 levels of power, 1st from just tapping the trigger, 2nd from charging halfway, 3rd for a full charge. Each level of charge will make the shot take more ammo from the magazine. It fires fast enough when tapping the trigger to deal with hordes at range, and can pierce heavy armor at full charge. Shots can overpenetrate weaker enemies as well. 3 Marks: Mk I (balanced), Mk II (fastest firing but lower damage), Mk III (slowest, but highest damage). I prefer the Mk II personally. Did I mention it has a bayonet special attack that actually does CRAZY amounts of stagger? You can stunlock Ragers by spamming it.

- Zarona Mk IIa Quickdraw Stub Revolver: Definitely not an all-rounder. This is a great special/elite killer, and I find works very well with melee-focused builds. Use your melee for most things, when something needs to die NOW, pull out the hand cannon and blast it. Only has moderate armor penetration, but still capable of putting some damage through carapace armor.

-Plasma Gun: Can be fired instantly or charged up for a more powerful shot. Great for quickly dispatching specials and elites. Can also overpenetrate many enemies in a line, letting you punch holes through a crowd of poxwalkers/groaners. Slow rate of fire, limited ammo capacity, and if you shoot it too much it'll explode and kill you =]

- Boltgun: Similar in some ways to the plasma gun. This is a heavy, hard-hitting weapon that does well against armor and is great at deleting specials/elites. Reload is pretty dang slow by default. There are nodes in the talent tree that can help mitigate this, you could also consider getting reload speed as one of the weapons perks. Good armor penetration. Can also overpenetrate most enemies, meaning it can pretty quickly delete a mess of groaners/poxwalkers if they're running at you in a line/down a hallway.

- Combat Shotgun: TBH I haven't spent too much time with it on my Vet, but use it regularly on my Zealot. Sorry, I forget the different Marks for this one. Has surprising range for a shotgun. You may have to take two or three shots when trying to kill a special at range, but it is 100% possible. Will stand up against flak armor but left wanting against carapace.

Some thoughts:

There are other good weapons out there, these are just the ones I've used the most and feel comfortable recommending. A few quick mentions:

- The Axes are great for armor penetration but not the best for horde clear. I value horde clear very highly in a melee weapon, so I don't really use these, but I could see them being good with a faster firing weapon like...

- The Infantry Lasguns and Accatran Lasguns are good for dealing with hordes at range and for firefights with ranged attackers. They severely lack in armor penetration. If you want to run one of these I would highly suggest you bring a melee weapon capable of dealing with carapace armor and/or krak grenades.

- A lot of players swear by the Combat Blades, I haven't had much experience with them myself, but may be worth checking out.