I like the Spear and hand cannon best. The Dual Shoulder cannons are cool and all but the hand cannon is faster and takes less energy. I killed like three or four Aliens without draining near as much as I would have with dual shoulder cannons. And the spear is very effective if you're being swarmed.
My favorite story level is probably either the hospital, the Sewer, or the High School. hard to pick. in skirmish I think I'd say the High school. Fighting in that big empty pool is fun.