most favorite as far as what I use most in my lists?
Meltaguns and Powerfists. Plasma is nice, but Meltas are stronger, more reliable and can be used without blowing you up or denying a charge. I play BA, so getting into 12" is easy. And Powerfists...god, you'll never see a Power Weapon in my list if I can buy a fist for the same guy...though Thunderhammers and Paired LCs have their uses, if you can get them.
For Tau, I really like Sniper Drones, but mechanics wise, yeah, gotta go for the Plasrifle and Missile Pod (Fireknife FTW!) or the good old fashioned Railgun.
What would I most like to have?
Humm...chainsword, maybe...you just can't beat a fucking chainsaw sword on the cool factor. Or a Power Sword. Bolt pistol would be cool...but man, Pulse Rifles are just intimidating.