Ah, a special gun. I've a good friend who specializes in ranged weaponry of the gun sort, he's quite possibly the least snobbish person I know but it's nothing as fancy as needing a special gun for certain daemons. Though sometimes it helps.
Daggers are my preferred, I imbue them with the elements, so nearly any dagger works fine, but I've an impressive set from home that I'm fond of.