Firearms as a group, and Heavy Weapons. If your role is 'shooter', then if there's a gun at hand, you need to be able to shoot it, and well, whether it is a hold-out or an HMG. Armorer is essential.
Weapons, I'd go with an Ares Predator IV, the HK assault rifle that reconfigures into half a dozen modes, and a Panther XXL. Gives you a lot of diversity, with only three weapons to maintain.
Other gear, you gotta have armor. If you can swing some milspec, all the better, but have another outfit for situations where overkill might be inappropriate. Between the PPP system and the mods in Attitude, you can get a good bit of armor, even before turning to 'ware.
Get a vehicle. You do NOT want to try and take the heavy weapons on public transport. I like the Bulldog, simply because of the room, but any truck or van will do.
Ammo. I like EX Exploding ammo for what I can get at chargen, but APDS and AV ammo are good too. Grenades are always your friend, natch.
Take a melee skill. There WILL be times when 'unleash hell' is the wrong choice, and being able to use your fists, or your blade, or your club will make all the difference. If you can swing it, Close Combat as a group is nice, especially if you can get your hands on that Smart-weapon from War!