This is a tough question because there are so many great ones to choose from. A few that come to mind are the chainsaw in GTA: Vice City, Railgun from Quake, Remote Mines in Goldeneye, and tons of cool weapons in Diablo II.
However, in all my gaming, this is the best weapon ever:
The Black Sword in Ultima VII, Part I
Why you ask?
Well first of all, you have to forge the weapon yourself, which was a pretty long task gathering everything. Secondly, you entrap a deamon inside of it so the sword can talk to you. Third, it is super powerfull, and last, it is the ONLY way (that I know of) to kill Lord British!
What else could you want?
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