Energy weapons is only useful at a very high level, melee and unarmed are insanely risky and do poor damage. Explosives is kind of situational, and it's probably the most expensive, but it has its moments (grenade launchers in an open field, disarming certain traps, laying mines to break scripted events, and the Fatman). Guns is useful from the start, and it keeps on being useful into the higher levels. It's the most versatile skill (though Energy Weapons is getting better), the weapons are dirt cheap and found everywhere, and they're just as effective if not better than their energy weapon counterparts.