Useful in the early levels only because you have nothing else apart from shotguns. Longer range than the shotgun, but lacks punch and so only really good for killing guards or police (or civilians); before you take on enemy agents you should be thinking of something more powerful.
Pretty short range, but more of a kick than the pistol or Uzi. Ideal for close-quarters combat earlier in the game; hide around corners, or get people with longer-range weapons to keep the enemy busy and use one agent to sneak up with the shotgun to finish the job.
Longer range and slightly more powerful than the pistol, your first piece of research should be to investigate these automatic weapons. There are Uzis being carried by guards and police on all of the first three missions; capture these because although the first one goes to the research department, any others you get to keep. You can't reload them though until they've been fully researched and you can buy new ones.
The main gun you'll use throughout the game once you can get hold of them - alas the enemy has the same idea. They're longer range than some of the earlier weapons, and have a pretty good stopping power; they also have lots of ammo, and you can get through many missions with only one Mini-gun per agent (although when you can, get a hold of a couple each!). They are heavy though, so upgrade the agent's arms to be able to carry them without slowing down.
Long range but poor stopping power, these are really only good for taking out guards or police in towers, on parapets etc. Against enemy agents you'll take forever and probably run out of ammo unless you use them to keep the enemy at bay until reinforcements with higher-power weapons can get closer and do the job properly.
Extremely poor range and a little difficult to aim, but the flames do seem to pass through walls so they're great for walking right up to a building and clearing it of guards (or indeed any living thing) without putting your squad in danger. I usually only used captured ones, I generally don't waste money buying them.
Long range, plenty of stopping power, they can even pass through one target and kill several behind. However, they don't have much ammo so should be used sparingly; they also don't leave corpses so you can't capture any weapons. Also good for taking out unarmoured vehicles, for instance if anyone tries to escape in a car have a laser sniper lying in wait; as it only takes one shot (usually) it's a good last-ditch weapon.
Very good fun - extremely long range (almost the length of some smaller towns, so long as nothing gets in the way), and huge stopping power. They are expensive and heavy though, so should be used tactically. They're great for taking out large concentrations of enemy agents at long distance - even if they're the other side of a gate, or just inside a building. Also good for destroying vehicles, and taking out people hiding on aerial platforms or round corners just out of the line of sight of your conventional weapons.