I don't really have a favourite gun, so I'll just go over the ones I use and why, and I'm just talking about the main game weapons, not including unlockables.
For handguns, it really depends on my mood and inventory space. Leon's original gun is great for criticals, the Red9 does good damage, and the Blacktail is balanced. I rarely use the Punisher.
For shotguns, I really like the Riot Gun. The Striker can hold way more ammo, but it has a wider spread, while the Riot Gun can do damage to enemies even if they're not right in your face.
With the rifles, I like to use the Bolt Action because it does more damage.
For the magnums, I like to use the Killer7, because it's more balanced than the Broken Butterfly.
I also use the TMP. I save up the ammo for El Gigantes and Krauser.