Combat Shotgun is my go-to at the moment; I haven't progressed far enough to find the Fat Boy (though I've got one round for it...) or the Railgun, or any of the really advanced weaponry really.
The Minigun's fun to shoot, but ineffective unless I dump a lot of XP into boosting my Big Gun stat. I gimped my Strength stat to boost my Charisma and Intelligence, so hand-to-hand stuff isn't terribly rewarding for me. (The resulting necessity for loot dumps and multiple trips to fence said loot makes me regret that somewhat.)
I took out the Behemoth with a regular missile launcher, and one critical VATS hit to the head. I suspect he'd soaked up a fair bit of Brotherhood assault rifle ammo before then, though.
-- Steve