The more you practice with a given weapon, the better you'll get at it. You'll be able to shoot while moving, have better accuracy and faster reloading, and so on. It really is VERY worth it to build up your skills by shooting gang members on the street, so that you reach "gangster" and "hitman" levels with your favorite weapon types. That will then mean that your missions will be easier to win. You even work up to shooting two fisted, including machine guns :)
Free Weapons on the Streets
Shovel - Los Santos - Ryder's back yard
Shovel - Whetstone with the construction equipment
Pool cue - San Fierro, in construction site by your garage
Fire extinguisher - San Fierro, gas station north of your garage
Fire extinguisher - Angel Pine - truck stop in Whetstone, southeast of Angel Pine
Handgun - Whetstone, in the truck storage with the cement truck
Shotgun - Tierra Robada, across from teepee village in northwest corner
AK47 - Los Santos, one block right of the "hamburger joint" in Temple, just below the "hills".
Micro SMG - San Fierro, under the "golden gate" red bridge at the northern end of the area
Flamethrower - Flint County, in state park parking lot just by Red County. Look for the "smily face" on the map with two white dots and a smile brown road. Then there's a black road to the west, and then a triangle of light green between it and another black road. The flamethrower is in the center of that light green area.
Flamethrower - San Fierro, in construction site by your garage
Body Armor - Los Santos - By starting spot - Enter parking lot of closest chicken place on left side, then hug left wall around the corner to find it.
Body Armor - Mount Chiliad - very top, at the scenic outlook
Body Armor - Angel Pine, on left of restaurant with pink letters
Body Armor - San Fierro / Doherty - side of big red building on east side of highway
Body Armor - San Fierro - Esplanade east, down on the docks.
Body Armor - Hampton Barns - semicircle of brown above road, in trailer park area
Body Armor - Tierra Robada, across from teepee village in northwest corner
Body Armor - San Fierro / Airport - in the hangar from the freefall mission
Camera - San Fierro - on Lombard Hill (the wiggly downhill street with trees and grass)
9mm - $200
silenced 9m - $600
Tec9 - $300
Micro SMG - $500
grenades - 5 for $300
Body Armor - $200
SMG - $2,000
Don't obsess about getting all of the weapons or about getting uber weapons right at the beginning. Just get to be really good with what you have. Being incredibly good with a weapon is much better than being awful with a "better" weapon.
Grand Theft Auto San Andreas Walkthrough