Here's my take on each of the Heavy Weapons.
* Grenade Launcher - High Rate of Fire and guaranteed knockdown even through protection makes this an excellent general-purpose weapon. Other weapons may be flashier, but this is a solid weapon under any circumstance.
* Missile Launcher - Underwhelming. I may be spoiled by other games, where a Missile Launcher deals massive damage in a large AoE, but the damage of this thing really doesn't live up to the expectations I have for it. Also, it's got Smart Targeting, which is a lie, because there's nothing smart about it.
* Avalanche - Low damage, but a massive multiplier against Protection. It tears through every form of protection quickly, then freezes the target solid. Great for Crowd Control and Defense Stripping, not so great for direct damage.
* Cain - At 10,000 damage, it's the single most damaging weapon in the game. The massive amount of ammo it requires for use is just for balance. When it absolutely, positively, has to die, you want the Cain.
* Collector Particle Beam - A very nice idea, but getting any sort of constant damage requires you to stay out of cover for extended periods of time. On Insanity, this is generally regarded as a Bad Idea.
* Firestorm - Just like the Collector Particle Beam, you have to stay out of cover to use it. However, unlike the Collector Particle Beam, you also have to be at point-blank range. This means most enemies in the area will be firing on you, while you can only concentrate on one or two enemies at a time. Not a good weapon.
* Blackstorm - Like the Avalanche, it's got low damage, but great Crowd Control. Can't really say too much beyond that, as I haven't used it in quite a while.
* Arc Projector - Minor charge, damages and stuns multiple enemies, and can decimate an entire swarm of Husks in a couple of shots. A great weapon.
My best choice would probably be the Arc Projector for it's sheer usefulness, and worst would be the Missile Launcher for being so underwhelming.