The shotguns in Killing Floor, especially the Hunting Shotgun and the AA-12. Killing floor in general has really satisfying weapons, with fantastic sound design, but nothing comes close to killing huge amounts of clots in one shot.
The Power Axe and Thunder Hammer from Warhammer 40k: Space Marine are some of the most fun and gruesome melee weapons I have ever used in a video game. Slicing through hundreds of Orks never felt so good.
Mass Effect 3 has some really fun guns, but I think the N7 Typhoon takes the cake, especially when playing as the N7 Destroyer in multiplayer. The amount of damage that weapon outputs is insane, and the huge recoil makes it even more fun.