I usually give Vaan a dagger. Specifically, Main Gauche. That thing gives him about 40 evade including the shield. I like the speed-based damage, too.

Right now, Balthier has a gun. Sirius with the Aqua Shot is doing about 500 damage at lvl 19, and it has range.

Fran has a bow, but she mostly casts/heals.

Basch has an axe/hammer. I feel lucky.

(SPOILER)Ashe has a rod/staff. I don't know why.

Penelo has whatever she needs at the time. Right now, it's a sword, because I like having the Shell Shield on her.