Multiplayer or singleplayer?
With my Soldier Shepard I ran around with the Revenant or Phaeston (the later is probably the better stat-wise, but I always end up doing better with the Revenant) for the sheer number of rounds I could put downrange at close range with adrenaline rush, heck, they were even good at longer ranges if you fired them from cover. I'm a big fan of suppressive fire, and those two guns work wonders together.
He even had the Raptor sniper rifle for longer ranges working under the same principle, many shots downrange meant the enemy couldn't respond, no matter if they died to the first shot or not.
My engineer Shepard on the other hand prefers a light phalanx pistol and the either a heavily upgraded phaeston (mostly to reduce weight) or tempest, she relies on her powers much more, using the guns as a way to finish the enemy or pin them for a incinerate or overload.
Multiplayer is a whole different beast though.
Phlakes said:
The Carnifex, Phalanx, and Paladin are all beasts with a magazine upgrade, and stick a scope on any of them and you have a really lightweight sniper rifle. I'm also a huge fan of the Tempest, not sure why, but it tends to agree with me. And with a heat sink and magazine upgrade it becomes an endless bullet hose.
You sir, know your weapons.

Yes, I especially like the phalanx due to it's lighter weight in multiplayer. And the Tempest is absolutely great with those upgrades, shoot it from cover and it's good at even long ranges, get out of cover and you can stay mobile and spray into the enemy at short ranges.
I've also been running around with an engineer and adept sporting an Avenger with stability modifier and extended barrel, it's so light and stable I have no problem placing a steady stream of shots with it while at the same time having my powers easily avaible.
My human soldier on the other hand have taken to running around with a stabilized and scoped (until I get the ammo extension upgrade) Revenant, and is doing surprisingly well with it and the quickly recharging concussive shot.
And I must say, it's fun to see in the game that everyone aren't running around with the same gun, it shows there isn't one gun to conquer them all...