Pitchfork
This handy tool can be very effective if you can get close enough to your foes to use it on them. It doesn't need ammo, so you'll always have it to fall back on if you need it.
Ammo: None

Baytor's Tips: This is really only useful for combating Axe Zombies, and  is somewhat effective in dealing with various nuisance enemies, such as rats. Learn to use it effectively against axe zombies, and you'll love yourself later; it's a great way to save on ammo.

Flare Gun 
Fires burning projectiles that lodge easily in flesh and continue to burn for a short period of time. Unless you dive into water, you'll take damage until the flare burns itself out, by which time it may be too late. The alternative fire launches a starburst flare that douses a large area with flames. Can provide effective crowd control. Powered up by Guns Akimbo.
Ammo: Flares

Baytor's Tip: The flare gun is very useful for ambushing cultists from a distance, since it normally only takes one shot to them. It also works fairly well on axe zombies.  Unfortunately, the flare gun is of limited use against other opponents. The explosive power of the alt-fire is ideal for taking out large groups of cultists and axe zombies, and works well when dealing with fat zombies.

Sawed-Off Shotgun 
A trusty companion if ever there was one. It doesn't have great range, but it packs a hell of a wallop up close. Can be fired either a barrel at a time or both at once for extra damage. Powered up by Guns Akimbo.
Ammo: Shotgun shells

Baytor's Tip: A great weapon if you can get in close to your enemy. Unloading both barrels is an extremely  useful defense against Ghosts and Axe Zombies. And can also be used in a pinch against Gargoyles and the various nuisance creatures. And combined with Guns Akimbo, the alt-fire is one of the most devestating attacks in the game.

Thompson's Machine Gun 
The Tommy Gun is a favorite of the Cabal for its rapid rate of fire and impressive accuracy. On the down side, it chews up ammo quickly. The alternative mode is a strafing attack that covers a wider area with twice as many bullets, which is an effective way to clear out a room. Powered up by Guns Akimbo.
Ammo: Bullet drums 

Baytor's Tip: Ideal for battling it out with cultist from a distance, as well as taking care of the various nuisance creatures. Can also be used in a pinch against Stone Gargoyles and Hell-Hounds.

Dynamite Bundles 

Light one up and chuck it at a group of zombies and you'll be rewarded with red rain and chunks of rotted flesh on the brim of your hat. The longer you hold down the fire button, the farther you'll throw the bundle. Watch the meter on the status bar to gauge the distance. The primary mode explodes on 
impact, while the alternative mode will burn all the way down before it explodes, making for some interesting traps.
Ammo: Dynamite bundle

Baytor's Tip: Ideal for dealing with those pesky Fat Zombies, and for large groups of Axe zombies or Cultists. Use the alt-fire to help clear out a room around a corner.

Remote Detonators 
Remotes work like dynamite bundles, except that you can detonate them at will. You can bounce them off walls or ceilings if you're afraid to peek around a corner. The alternative fire drops a remote at your feet, and you can hit the alt-fire key again to place additional remotes without detonating
those you've already placed.
Ammo: Remote detonator

Baytor's Tip: This works a lot like the alt-fire of the regular dynamite, but with a lot more control. I tend to use it to blow up cracks in walls. Also great for trying to clear out underwater enemies. You can use these in combination with the Proximity Detonators in Blood Baths. Lay down a few of these, then place one Proxy to arm the trap. When someone stumbles onto it, one huge explosion. A big thanks to Jarmo for that tip.

Proximity Detonators 
These are by far the nastiest explosives you'll come across. You can scatter them around and concern yourself with other matters. As soon as someone steps near one, you'll hear a far-off boom and accompanying shrieks of agony. Use the alt-fire to drop them at your feet. Also, remember where you've dropped proximities or you may fall prey to your own trap.
Ammo: Proximity detonator

Baytor's Tip: Use primarily in Blood-Bath. Since your enemies do not patrol the levels in the single player game, there isn't a whole lot of use for them. And given the danger of blowing yourself up with an unexploded charge, I would recommend against using them in Single player games. Jarmo, on the other hand, likes lobbing these at enemies when they haven't seen you yet. That way, when they do see you, BOOM!!! See tip in Remote Detonators, for a nice Blood Bath tip.

Incinerator 
This monstrous weapon launches a huge ball of flaming napalm at an extremely high velocity. If the initial explosion doesn't kill your enemy, the burning probably will. Best used with extreme caution, especially in tight areas. With the Plasma Pak, the alt-fire launches several napalm projectiles, covering a wider area but also chewing up a lot more ammo. Powered up by Guns Akimbo.
Ammo: Gasoline cans

Baytor's Tip: Perfect for dealing with the Gargoyles, Fat Zombies, and Cerberus. Also great for taking out large groups of Cultists and Axe Zombies. The alt-fire (Plasma Pak only) is great for clearing out rooms full of cultists, especially those pesky pillared rooms. 

Voodoo Doll 
The power of the voodoo doll is immense, but far subtler than that of a firearm. Hit alt-fire to unlease a more powerful supernatural attack at the expense of 20 ammo units (with the Plasma Pak, it uses up the entire doll).
Ammo: Voodoo doll

Baytor's Tip: If you have the regular version of the game, the alt-fire makes this the weapon of choice in fighting the various bosses. Unfortunately, owners of the Plasma Pak will find a very depowered Voodoo Doll in their possession, and not a very useful one. The regular fire isn't particularly powerful, but is fun to use. Try it out on some zombies when you're feeling bored.

Aerosol Can 
Hairspray may not seem like the most daunting weapon, but apply it to a cigarette lighter and you've got an instant flamethrower (don't try this at home). While its range is rather limited, its effectiveness is quite impressive. You can also light one up like a Molotov cocktail and toss it into a group of adversaries. Hit alt-fire a second time after igniting a can to drop it at your feet-it will explode once it burns down.
Ammo: Aerosol Can

Baytor's Tip: One of the coolest weapons, but I'm afraid it's not the most useful. Because of  the extreme close range and the length of time it takes to kill, I only recommend it for use on Axe Zombies, whose blows you can easily avoid. Somewhat useful against the various nuisance creatures, but not incredibly effective. The alt-fire of the weapon can prove to be extremely useful, as it has quite a bit of splash damage (thanks to Jarmo for reminding me about that).

Tesla Cannon 
This powerful prototype weapon packs a mighty load of amperage. Nikola Tesla would be proud. With Plasma Pak, press alt-fire and the Tesla cannon charges up, and releases a powerful electrical blast. Powered up by Guns Akimbo in the Plasma Pak.
Ammo: Batteries

Baytor's Tip: Perfect for taking on Stone Gargoyles and Hellhounds. Also, incredibly effective against most other enemies, but I recommend saving your ammo for the Hellhounds and the bosses.

Life Leech 
This artifact draws its power from the life energy of your foes. Run low on ammo and it saps your own strength! In Plasma Pak, press alt-fire to set the Life Leech down. It will automatically fire at anything that comes into its sights.
Ammo: Trapped Souls

Baytor's Tip: It makes mince-meat of most of the lower-level baddies, but I haven't found it to be too useful against the bosses. Just be real careful when you use it, because when it runs out of ammo, it starts to drain your health. Pretty ideal for dealing with large groups of axe zombies and fat zombies.