Ultimatly I think versatility would be key; a nice rifle to kick things off, a handy sidearm, perhaps a knife, various grenades. Then whatever you can pick up off your dead enemies or improvise from the environment.
Hey a serious question for all the GM's, what about arrows. Would you let a PC go all Legolas on your Mûmakil with this? I think I would because it's so cool, but I can see it being a bit of a problem when heavily customised bows get involved.