The heatseeker is my favorite weapon in SW, it's just so awesome to shoot a rocket, that doesn't even have to be too close to the target, and have it chase them around
Only really works well in open areas though. For WangBangs Heavy Metal was a really good level.
I remember one of the SP levels was a big boat. If you shot one outside there and it looked onto a coolie ghost you could watch it fly around for ages chasing after it, that was sweet :P