Whatever is least defended against is, of course, the best.
If your enemies are using equal defenses in all categories (or, more likely, you have multiple enemies you need to deal with at once and they all researched different lines), you'll just have to choose the best you've got. Often, especially with tech trading, you'll be able to take two or three types on each ship. In that case, I suggest taking your two best (rather than diluting it with all three).
But, eventually, it comes to this:
Missiles have the best damage per point of hull space, followed by lasers. Mass drivers have the worst, but the Black Hole Gun is the smallest super weapon, so I find myself squeezing it in sometimes even when I'm not making a gun-based ship.
It's more or less equally easy to defend against each weapon, though shields are the least useful line to reasearch if you're faced with equal amounts of each weapon--Zero Point Armor is the most efficient armor in the game, and Aeron Systems give you a good trade item. Shields are only worth the effort if someone is using lasers on you.
In my experience, the AI is equally likely to use any given weapon or defense, so you always need to check what they're using before you research a line--you can't be told here, or assume.
As for style, I like the Black Hole Gun. Besides looking good, I find it amusing that I've got a rail gun which shoots black holes.

The Black Hole Eruptor is sleek looking, but it doesn't seem as nifty to shoot something that generates a black hole, even if it is a bigger one. The Doom Ray looks like Plasma 1, which I find silly, and there's not a very satisfying explanation of what it's actually doing for story purposes.