Depends on the game and the mode. In MW2, I use a "stealthy" class although it's just an AR with a silencer with a shotgun as secondary with all those stealth perks (scavenger helps alot). I use a claymore whenever I think someone is tracking me or if someone just happens to spawn behind my wraith. If in Halo, I like using the shotgun or BR (now in Reach, I use shotgun, grenade launcher, and DMR), I like close encounters and make sure people know who killed them. In TF2, I use the demo-man and the sniper most of the time and occasionally the heavy or medic when it's called for.
My favorite weapons are shotties, ARs and Grenade launchers, of course.
EDIT: In Reach I did find myself abusing the sprint ability with the gravity hammer (got too many multi-kills and sprees this way) on power house and the plasma launcher in swordbase.