Geez, one gun?
QWTF incendiary rocket-launcher. I know the Soldier's HE rockets did more damage, but I liked the fiery wrath version.
X-evil frog gun, despite its rather lame single-use-weapon issue.
HALO sniper rifle or the RtCW thermal-imaging silenced sniper rifle? Erm ... actually, no, the Winter Covert Sniper Rifle or whatever it was called from that James Bond game.
Original Quake thunderbolt.
X-Com: Enemy Unknown laser rifle, because it had bottomless clip and could remove the side from a warehouse to save you bothering to find the door and the stairs.
The Half Life shotgun, the pump-action one that somehow lets you fire both barrels.
The Half Life alien arm thing that throws fish. You can spray them into the sky and watch them all turn the same way, where the enemies are, until you run out of enemies, then move through a cleared landscape.
The Age of Empires janissaries' guns. They have crap rate of fire and don't hit all that hard, but they can take the enemy down in melee on the far side of a stone wall and a house without harming the allies in the same melee.
If I had to choose just one, though, it would probably be the four-barrelled nailgun from Quake. No minimum range, no backblast, no maximum range, no issues with water, tight groupings, no magazine changes, no overheat, plenty of damage per second and plenty of spread capability. With enough ammunition and that thing I could have held Osgiliath.