Sniper rifle. Normally though, given a chance I'd load myself with as many weapons as possible. Using a modified holster I'd have a variety of different handguns of various types, including the trusty old Magnum and maybe some sort of plasma weapon (Halo) or the Torque Bow (Gears of War). Then attached to my back would be a strap that holds probably one other longer range weapon, possibly a RAWKIT LAWNCHAIR! Then I'd have lightweight swords in scabbards on another belt just below the holsters. That way I'd have long, mid and short range capabilities as well as a lower chance of running out of ammo.
Note that in real life I have actually trained with military issue weapons, although I am not a military person at all, merely a student with too much time on his hands. My friend does fencing so I could learn the basics of sword fighting from him, and I'm actually a decent shot with most guns I've used before. As for the rocket launcher, does that really need specialist training? Just point, fire and BOOM!!!