I've never played Battletech, but as far as Mechwarrior goes:
Close: Pulse Lasers
Medium: Pulse Lasers
Long: Close the distance, then Pulse Lasers.
Originally Posted by Kinslayer
Drat, you stole my anwser!
...though, I prefer ER (Clan) PPCs to Pulse lasers for long distances.
Pulse lasers are terrifying weapons, especially when used close up, but my favorite primary guns are the Clan ER PPC and Gauss Rifle. Long-ranged headcappers means your opponents will begin to fear your might as you one-shot their best 'Mechs. Missiles are also fantastic for fire support and cleanup duty, and in MechWarrior as homing munitions.