Most players bind the weapons around their movement keys.
There is also a weapon priority list (Settings -> Game -> Weapons), where you can change the order of weapons if you cycle through them with the mousewheel, or if you have the "Auto switch weapons on pickup"-option enabled it will decide if it switches to a better weapon based on your order.
1-Blaster: Movement tool (like Quake rocket jumping), not ideal for combat. Good to push people into void (on distance too).
2-Shotgun: Due to it's big spread, it is best at close range -> shoots 12 shells á 4 damage. The secondary melee deals 70. Good to finish off low opponents (-> screaming model sounds).
3-Machine Gun: 10 damage per bullet, primary has some spread, so close-mid range works fine. For long range you can try secondaray burst fire, which has almost no spread.
4-Mortar: Very good on close to mid ranges. The secondary explodes 0.5 seconds after it touches anything, which is very nice to shoot around corners if you let it bounce of the wall. Both modes deal 55 damage at direct hit!
5-Electro: Only good if you use the combo (secondary+primary), can deal up to 180 (iirc). Better for close range traps. The primary bolt may seem like a Rail, but it travels to slow and does not do enough.
6-Crylink: Close range. The projectiles of the primary will cross each once you release the fire button (so holding fire is better) and if you time that really good it can deal nice damage. Also slows down players (->CTF). Secondary wrecks players movement as well, but you can use it for movement too if you shoot the ground in front of you in some kind of 45° angle. Works on walls or
ceilings too.
7-Vortex: The equivalent to Rail. Of course best at long ranges. It has a charge (shown by a ring around the crosshair) and does 80 damage at max. You can always charge it up within a second and switch back to another weapon - the charge won't the gone.
8-Hagar: The primary is pretty much the Plasma Gun from Quake. Secondary can deal 140 damage. You might have noticed that you can't hold secondary forever (they'll release after a while automatically), BUT you can cancel the loading via Mouse1 and charge it up again. Secondary = close range
9-Devastator: The Rocket Launcher, good on any range almost. If you hold Mouse1 and move your move you'll be able to guide the rocket and with the secondary you can detonate the rocket at any time you want. Direct hit = 80 damage. Therefore it is super good on close-mid range, but due to guiding and the remote detonation you can hit on long range quit well too.
Some maps also have the Arc, which is supposed to replace Machine Gun at some point. The gun is like a LG but still in development. Currenty the primary beam has some kind of wobble effect, while the secondary is sort of like Hagar primary currently.
tl;dr: You want to use Mortar, Vortex and Devastator a lot, because they deal a lot of damage and are useful it almost any situation. Some other weapons (e.g. Electro combo or Hagar secondary) can be very stronger, but are less realiable.
You can also try to launch a local match (Multiplayer -> Create) and set bot_nofire 1 (Shift+ESC to open console). This way you can test wepaons on opponents, but they will not shoot you.