Hmm, interesting question.
For me, it depends. For example, one of my favorite assault-rifle like weapons is the laptop gun from Perfect Dark. Favorite shotgun would be either the shotgun in Half-Life 1 or the double-barreled from Doom 2. Favorite rocket launcher would be either the launcher from Half-Life 2 or the launcher from Halo: CE. Favorite "oddball" gun, while a tough choice, may go to the Cerebral Bore from Turok. And, so on and so on and so forth.
What I'm saying is, on a gun by gun basis, the game will vary.
Now, for overall feel I'm tempted to list a game the likes of Battlefield, Half-Life, Turok, Quake, Unreal Tournament, Painkiller, etc. However, I think I have to give it to the old school classic Doom 2.
Besides the pistol, there's no weapon in that game that isn't cathartic-ly satisfying to fire. From the singe-barreled shotgun to the BFG.