My two favorite combo weapons are the Blitzkreig and the BFG. If you get a chance to use them, they are the best weapons in the game, though with limited uses.

I'm on my 3rd play-through trying to kill as many zombies as possible (there's an achievement for killing 54k and 72k zombies. The most I've managed is 9k, but that's with following the storyline and saving survivors.