I remember doing all the side quests with my friend, up to a certain point. Then I was just like "I can't do this anymore" and beat the game. After a while, the side quests just get tedious to me. The only time I can do something other than run in and kill everything is if tactics are involved, like a strategy game. So fetch quests almost always kill games for me.
How do you pick guns? I think Damage is the most impressive stat, but I'm not really sure. I guess that's part of the beauty of the game. I noticed that the rarer items (orange, purple, blue) are usually better, but there are a number of exceptions, so I can't even rely on that.