The crowbar from the Half-Life series-
It's not just that its the first weapon you get (and thus the first empowerment of your glass-wearing FPS alterego). It's that I always use it in moments of frustration and indignation toward my opponents. In a game that focuses on intimidating, awing and enthralling the player, the crowbar represents to me a refreshing sense of invigorating courage and final judgment. I pull it out against the iconic, intimidating head-crabs. I use it to overcome the claustrophobia-inducing man-hacks (though the gravity gun is much more efficient at destroying them). I also use it to do things which would otherwise be much more practical, such as bringing down a hunter or a skinless zombie.
There's something about holding a robust, semi-sharp, brightly colored metal tool in your hand that makes "-but I have a crowbar" a very viable rebuttal to anything the game has so far thrown at me. The crowbar, along with the shotgun, are my two favorite weapons in HL2; the crowbar being the most phallic, though, wins in this thread.