Invest in machine gun upgrade research until you get the MG200 and then the GG-RH (Richard Hawk's gatling guns). You can experiment with the other weapons but as far as I can tell the top tier machine guns can wreck shit fast and bring bosses to their knees.
The M72A3/BU rocket launcher is hilariously broken because the cluster bombs it splits into can do insane damage when they all fall on targets. This is crazy useful on some boss fights. You can literally kill the cloaked dudes in Phoenix without blowing up the radars because the splash damage will hit them so hard. Just make sure to aim upwards of the target you're trying to hit so the rockets can explode into the cluster bombs.
Shoot the statue of Michael's dad. Don't listen to what he says.