Situational preferences
Personally, I find the use situational in most places. Dealing with zombies or headrunners, the .38 is fine - they pop quick. Bigger things need bigger cannons, of course, but using the Anaconda on a zombie is like squishing a bug with a baseball bat.
Of course, if there are a whole lot of zombies, then the Brokk is kind of nice - more exploded bodies between reloads. By the time I get to the nosferatu warrens, I've usually scrapped the .38, but not until after using it to clear the computer cafe's back room. In the lower levels of the warrens, the Anaconda is handy (with a shotgun, natch).
I don't typically play favorites. Certain ones are better choices in certain places. The only thing that keeps me from having all of them on-hand is a limit on how many hotkeys I have, so I'm usually only packing 4 ranged + 1 flamethrower by the end, at that point typically the Brokk, the .50 cal, the Spazz, and the rifle. I find that the Anaconda actually seems to hit harder than the .50 cal, but the extra rounds are handy.
The flamethrower I only find useful in the Gauntlet (and yes, maybe a little bit in the Hollowbrook, too). I know many like it for the Sheriff in bat-form, but he can be had with the 9mm if you're clever (and patient). The shot-gun, of course, is a smidge quicker. I long ago figured out how to take Ming without firing a shot (as a Tremere, anyway).
Of course, I get a buy because I can mouse-wheel my disciplines by detent stops, so I don't actually have to hotkey any of them
Ultimately, it comes down to economics. The lesser weapons have cheaper ammo, so why kill it with a $5 round when you can do it with two $1 rounds?
Of course, you don't actually get any bonuses for finishing richer, but it's the little challenges that keep things interesting.