Don't diversify your weapons too much. It won't hurt you too much in the long run, but you do better if you only use one or two weapon types. May I suggest pistols? They have pistols for every occasion: Sniping pistols, repeater pistols, shotgun pistols, and pistols that never need reloading. To make things more awesome, pistols will use two ammo types, so you can always be bettering your pistol proficiency when you are out of ammo. All guns are awesome in their own way, but unless you are playing Roland, you are going to run out of ammo for the weapon you are working on, and then you will have to use another that won't be as strong. Being able to switch ammo types without switching weapon proficiency types will be helpful.
Also, Lilith with the Elementalist tree is just amazing. That and the right tree (Assassin? I forget the name of the tree) makes it so that you hardly have to shoot your gun anymore. I get a total powertrip by just running into a crowd of guys, burning them with electricity, then burning them with fire after the first one dies, and then running to safety when a few more keel over. Phasewalk is just plain useful because it lets you run really fast, and in such an open game, you need that for more than just battles.