Once I have a little extra money I sometimes buy an extra gun or 2 just to take the clips out - usually if it's a cheapish gun like the hunting rifle or cone rifle. Cone Rifle is actually my usual choice as 1st gun - it uses Heavy Weapons skill and I can skip taking the regular guns skill at all, and then build up to the kickass Laser Cannons and such later in the game. It is a bit heavy though...
Regular guns I usually start with Long Rifle/Hunting Rifle - cheap, light, long range and you can get AP ammo for the long rifle. Then Laser Rifle - light and no ammo.
Red Dot sights early, then I change to Gas Vents to speed 'em up.
And yeah, melee weapons are really nice 'cause they don't run out of ammo - think about thrown weapons with RETURN like a couple of Boomerangs (nice and light,but low damage) or find a Magnet Token and make some really killer combos out of any thrown weapon, one of my favs is the Solar Spear. And you can throw them from Inventory, you don't have to dedicate a hand.
EXTEND is great too (hit at 2 square range instead of just adjacent). A good early combo I like is the Long Haft token in a Sickle - 1kg total, has Armorpiercing. You'll need something beefier fairly soon though.
Or a Rapier mainly to parry.
Next step is Monosword/Chainsword/Gyro Mace, but then the Monoscythe/Night Scythe are great and well worth the weight esp after you build up your strength a bit. Mono Whip is great after you build up Melee skill to overcome the minus to hit.
To carry all this I usually need the lightest good armor - Breastplate+plate sleeves/leggings early on, Ceramic Armor a bit later, Maximus at the end when I can afford the weight. Plastic shields/small shields are nice and light to start.
Ahh so many cool weapons
