You can go a couple ways depending on what you usually fight and the role you want them to play. But in my opinion, the Hydra Guantlets are the best of their weapon choices. The others are good too but the potential bonus attacks from 2 sets in a 10 man squad is very nice. Haywire Grenades are great, especially if you face lots of high-armour walkers. But I don't think Wyches should go tank hunting too often. As for the Hekatrix; if you take one, go with the Venom Blade. Always wounding on a 2+, which is re-rollable vs T3(or T4 with Furious Charge) is nice to have around. Sure an Agoniser is AP 3 but on a model like a Wych, it is a bit expensive. I play my Dark Eldar on the theory of wound saturation. If you want a unit to simply cut through enemy armour, go with Incubi.
"Fetch me another plaything. This one seems to have broken." -Urien Rakarth
Space Marine- "This planet is ours, witch."
Eldar- "No ... This planet is theirs ..."