Let's put it this way:
For the most part, whatever you use in your loadout is irrelevant. If you have skill, you will still do well.
However, it's far easier for me to say what you shouldn't ever use rather than say what you should.
Scout
Primary Weapons
> Baby Face's Blaster
- while this weapon is gimmicky and popular, it is a really poor choice. The Shortstop is more accurate than it, and does more damage, so you're better off using the Shortstop if you like accuracy. It also does less damage, but most importantly, it slows you down to the speed of a Demoman. The Boost feature is nice, but it's impractical. Avoid using this one.
Secondary Weapons
> The Winger
- the Winger is an awful weapon. Its higher damage output doesn't cover the annoyance of the tiny clip. The Scout's Pistol already has a tiny amount of ammo anyway - this weapon basically removes the Pistol's one advantage. Never use the Winger, you're better off with the stock Pistol or any of the other Scout secondaries.
Melee Weapons
> The Sun-on-a-Stick
- this weapon has a rather obscure use. It's like an Axtinguisher, except you have no control over the flames. It's a rather pointless weapon that's only really viable in Medieval Mode, and that's assuming you can rely on a Pyro with the Sharpened Volcano Fragment. (You really shouldn't play Scout during Medieval Mode anyway).
Soldier
Primary Weapons
> The Rocket Jumper
- this weapon is only useful on surf or jump maps, where mobility is key. Otherwise, it removes you of your most powerful weapon, and prevents you from capturing the intelligence. Refrain from using this unless you're a really skilled Trolldier or you're playing on a modded server.
Pyro
Primary Weapons
> The Backburner
- oh God, how I hate the Backburner, Gibusfag noob Pyro. The Backburner is an awful weapon that perpetuates the stereotype of the "W+M1" Pyro. It's almost like you want to look like a douche. This weapon's high airblast cost means you're losing a powerful asset, and it's useless against enemy Pyros, as it doesn't do any more damage. Please, for the love of God, don't use this.
> The Phlogistinator
- somehow, even worse than the Backburner. It cannot airblast at all, and it does less damage. All it's good for is spawn camping, and that's despicable in itself. A Pyro who can't airblast is a cock, as airblasting is an important skill, and useful for teammates. Please don't use this either.
Melee Weapons
> The Fire Axe / Lollichop / Frying Pan / Conscientious Objector / Saxxy
- as a Pyro, you're already at melee range with your Flamethrower, so why bother using any of these unless you're low on ammo? Give yourself more utility with any other melee weapon.
> The Sharpened Volcano Fragment
- see above. It's even more useless against enemy Pyros, and fire is easily extinguished, meaning that the afterburn may not cover the lowered damage. It's only really viable in Medieval Mode - but even then...
Demoman
Primary Weapons
> The Loch-and-Load
- this weapon basically turns you into a shitty Soldier, who can't rocket jump or deal splash damage. The damage difference is negligible, and this weapon's speed is counter-acted by its tiny clip. Avoid using this where you can. The Demoman is unique in that his best loadout is pure vanilla, under most circumstances.
Melee Weapons
> The Claidheamh Mòr
- you're better off using a Bottle. This weapon lowers your health, doesn't collect heads, doesn't roll for random crits, and the added range is barely noticeable, as is its cruddy charge increase. Can't use it, can't pronounce it.
Heavy
Secondary Weapons
> The Family Business
- it's basically a Shotgun for idiots. As a Heavy, it's a bad idea to be using the Shotgun anyway, unless you're using the Brass Beast. The Minigun is a stronger, automatic Shotgun, effectively. The Shotgun is better than the Family Business, although both are similar. Eat a Sandvich already.
Melee Weapons
> The Fists / Frying Pan / Conscientious Objector / Apoco-Fists / Saxxy
- Heavies should not engage in melee combat seriously (Heavy boxing for a joke is okay though, lol). Your slow speed puts you at a massive disadvantage - besides, it's far easier for you to shred an enemy close-range with the Minigun or use the Shotgun to finish them off similarly. Equip another melee weapon to give you more viability.
> The Eviction Notice
- this weapon is another real noob weapon. Its quicker firing speed doesn't make up for the damage loss - besides, shouldn't you be using your Minigun anyway?
Engineer
Primary Weapons
> The Frontier Justice
- while it's nice to be able to strum a guitar, the Frontier Justice is a habit-forming and sketchy primary weapon. The small clip size can be excruciatingly annoying, as you constantly hafta reload. Revenge crits are useful, but your Sentry shouldn't be dying anyway!
Melee Weapons
> The Eureka Effect
- not being able to move your buildings is a massive setback. While it's certainly nice to be able to teleport back to safety, equip another melee weapon so you can move around more. The Eureka Effect is useful in Arena Mode, however, where you're unlikely to move anyway, and being able to restock on health and ammo would be a lifesaver - literally.
Medic
Melee Weapons
> The Bonesaw / Frying Pan / Conscientious Objector / Saxxy
- it's risky to be engaging in any combat at all whilst you're a Medic, and considering that all of your other melee weapons have utility (some even with no downsides, such as the Amputator or the Solemn Vow), choose another melee weapon to use.
> The Vita-Saw
- it's a weapon that fulfils itself, really. It lowers your health but rewards you if you die. Nope, this is a bad choice. Health is important, and Ubercharge is easy to get back - considering the Vita-Saw only retains a very small amount of charge. Ignore this weapon, mein frauleins.
The Sniper
Primary Weapons
> The Sydney Sleeper
- so, it's a sniper rifle that doesn't let you do headshots. What has this world come to! Argh! But seriously, this is a bad weapon that reduces your firepower significantly.
Secondary Weapons
> The Cozy Camper
- it's not a bad secondary, as far as things go, but anything that removes your SMG should be seen as a risk. Without your SMG, you're pretty screwed at close-range (especially if you're using the Machina), unless you're using the Huntsman. You may be better off using the Darwin's Danger Shield if you're concerned about health.
Spy
Primary Weapons
> The L'Etranger
- although regaining cloak is nice, it's far easier to regain cloak by picking up the weapons dropped by your victims. And it's far harder to get such victims if your gun does less damage. It's simple maths. Avoid this weapon - if you're concerned about regaining cloak, use the Big Earner.
> The Diamondback
- similarly, it does less damage, and can't roll for crits. What's the point? Unless there's some seriously retarded Engies, or if there's a lot of them, don't use this weapon. I will note, however, that you gain crits for buildings that are destroyed with your Sapper attached. Your Sapper doesn't have to be the thing that destroys the building - a teammate can do that - but it does hafta be attached.
Cloaking Devices
> The Invisibility Watch / Enthusiast's Timepiece
- compared to your other two options when it comes to cloaking, the Invis Watch is awful. Never, ever use it. Shadowwolf. Never use it. Not only that, but the Enthusiast's Timepiece displays how much cloak you have left incorrectly - a graphical glitch with consequence!