Depends, for hunting I usually either use the bolt action rifle or the bow, for combat it's usually either the lancaster repeater or the pump action shotgun
Sidearms are the schofield revolver (which I always try to get early on) and the semi-automatic pistol if I have it, if not then the sawed off shotgun
I like to preserve ammo as much as possible which is why I don't go for weapons with a fast firerate as much (especially since they're rarely necessary), but I do like to have one just in case I don't have enough time to aim and just need to spray and pray (for example in an encounter with the night folk, or a cougar if I happen to not be on my horse)