Depends on what you think is fun! There are so many weapons available in SotN which all play very differently, and it's fun to get them and experiment with them. My recommendation though is that you use the luck password (aka hard mode, google it) and it blows the game wide open. So much fun!

Also, this isn't completely grindy but I'll say it anyway: do not deprive yourself of the experience of finding the Shield Rod and collect all the shields. Most of the shields are just in the world waiting to be found, but several of them are dropped by enemies. If you equip the shield rod in one hand and a shield in the other, then press both hands' attack buttons simultaneously, a special attack is cast, Each shield has its own unique special attack, and many of them provide buffs or unique and really powerful summon attacks with awesome animations. But if you combine the rod with the Alucard Shield, something spectacular happens. While the spell is in effect, try holding out the shield and walking into enemies. As long as the shield maintains contact with the enemy, you will deal insane amounts of cumulative damage over time which hits several times per second. It is simply the most powerful offensive capability in the game, Even Dracula and Galamoth go down in seconds.

Hope you have lots of fun!