Particularly interested in the point of view of people who have trained using several weapons. Do you have a preference for a particular weapon or does the situation dictate what you would prefer?
Most of the weapons I have studied are not something you would actually have with you for self-defense reasons, other than a pocketknife, or gun. But it's pretty rare to get into a "duel" with your knife, where both of you have time to draw it and square off.
The gun? Well, that's a whole other subject.
I am only getting into martial arts but already in this time I have been given the opportinity to use several weapons. What is peoples weapon of choice and why?
I personally like the weapons that teach me principles about fighting in general. My first "karate" weapon was the nunchacku. It taught me a lot about speed, snap, and control. Being primarily a circular weapon, I found a lot of principles between a good, snapping nunchaku strike, and my round kicks, hooking palms, chops, and other circular techniques. Eventually I applied the same principles to European longsword for the cuts, with powerful results.
The nunchacku helped to teach me about using efficiency of motion to create astounding amounts of speed. I learned to "snap" strikes out rather than "push" them, which saves me a lot of energy.
The Bo is good, since it is a weapon that exaggerates your basic techniques, and brings problems to light. For instance, a basic downward strike actually is thrown with the same body mechanics of a punch. With a longer staff, and the extra weight, any "cheating" you do with a punch will become obvious. Plus, it's relatively easy to get a hold of a broomstick, or something similar that you could use as a staff.
Knife dueling is good practice - it teaches you fast footwork, stepping off-line, and it reminds you that the whole body can be a target, including arms and hands -- something that is hard to safely duplicate in sparring. (elbows have this annoying tendency to bend the wrong way when you hit them.)
I've only studied European swords, but I find them very useful for learning to set up strategies, and create "attack patterns", or to draw my opponent in with a set-up.
Like Kennedy said, all of this stuff can enhance your empty-hand training, you just have to see what you're most interested in improving. Start with what you like, if you like it, you're more likely to spend time working on it . . .