I'm a big fan of shotguns as well. I run in and blast things in the head with my shotgun, often killing them in one or two shots. And if things get dicey I go berserk and pound things with incendiary fists.
I have been having fun with rocket launchers lately as well. I've got a helix launcher doing 550x3, plus x4 incendiary. A lot of time I can fire into a group, then just sit back and watch the damage numbers pour out of several guys as they burn up. Plus I found a combat rifle that works nicely. The damage isn't the highest around at ~180, but it's got a good fire rate and an 81 round mag plus really high accuracy and recoil mods. That makes for a lot of critical hits to the face between reloads.
I'm as far as Krom's Canyon in playthrough two, almost to level 49. Just gotta hit 50 and I'll have 1000 points on this game. I've got three other characters started too of the other classes at various levels, anyone can feel free to invite me, and I can load up whichever character is closest to your level. Addictive game indeed.