Ive got a few:
Someone mentioned the laser rifle from Xcom 1. I have to disagree because the laser pistol was a much better weapon. It worked WONDERFULLY with the rocket launcher in that you could easily stick it in your belt and whip it out whenever one of those dastardly aliens got too close. It also didn't get any accuracy penalties when fired with one hand, and could get more shots off in a round than the laser rifle. (that said, the laser rifle would be my second choice from that game)
The Shrinker from Duke3D has already gotten allot of love here so I wont describe it further.
Bullgut rocket launcher, Shogo:MAD - This gun is so ridiculously powerful and fun to shoot, I would consider going through the game using nothing but. Shogo was also the first game I ever played that featured full 3d explosions that weren't embarrassingly bad (Im looking at YOU Quake 2). This, combined with excellent sound effects and that undefinable 'feel' of a great gun makes willing to forgive that game's other faults.
BFG9000, Quake 2 version - The real joy of this weapon is actually born from it's handicap: its HUGE windup time. The thing makes a loud electronic noise and emits an alarming amount of scary green light for about 3 seconds before spitting a huge slow-moving green fireball. The thing that makes it special is the 'OH SHIT' reaction you get from people being shot at with it. If it just went off immediately, it wouldn't be anywhere near as much fun. The fact that it absolutely pastes people who use the 'wiggle dodge' form of evasion makes it all the more endearing to me.