I mean, if they’re in human form, they’re going to have access to the same kinds of weapons anyone else would, so there’s no reason for them to abstain from a shotgun or fire axe. I suppose there’s an edge case of being harmed by something they’re supernaturally vulnerable to while still in human form. For example, packing mags of silver bullets could be unpleasant if your werewolves stay vulnerable to silver all the time.
If they’re fighting other werewolves, then they will need to tailor their arsenal to account for that. Again, just like anyone else. That’s going to depend on the rules (and technology) of your setting. So, it could be silver bullets, a tazer (hey, it’s got to have a nervous system, right? You should still be able to short that out), bone tipped bullets, gold arrowheads, enchanted weapons, whatever.
As with hunting normal animals, you’re not going to want to take a sword or other combat weapon against a werewolf, because that will put you far too close to nine feet of snarling deathbeast. You need hunting weapons. In a pre-modern setting, you’re talking about the bow, crossbow, and spears with heavy cross guards to prevent the werewolf from migrating up the spear and taking your head off. Of course, you’re also dealing with creatures that are smart enough to break your spears.
If you’re asking for weapons they could use in both forms, that’s a bit trickier. It would need to be something bulky enough to use while transformed, but still light enough to use in human form. Some kind of custom made heavy shaft polearm, axe or sword come to mind. Though, I’ll be honest, when you’re talking about a werewolf, they have natural weapons, which could be far more (supernaturally) lethal than anything they could carry into combat.
Some quick recommendations would be to look at the old White Wolf RPGs, Werewolf: The Apocalypse, and Exalted.
Werewolf: The Apocalypse is an urban fantasy setting. It’s dripping in 90′s edginess, but there’s some excellent world building in there. It presents werewolves in conflict with the rapid technological development of the 20th century. This is about modern day werewolves in a setting where other things will hunt them down and kill them if they screw up, and the werewolves are facing extinction from the dwindling wolf populations in the world.
There was a second version of the game, Werewolf: The Forsaken. As I’ve said before, I’m not as big a fan of this one. The setting’s reboot ditched a lot of the uniqueness from the original. But, the end result is a lot more flexible and modular. If you just want to poke a setting for inspiration, this one is more diverse, and gives you the tools for producing more “mundane” flavors of werewolves.
If you’re running with a wild west setting, Deadlands is another potentially helpful resource. It brands itself as the “weird west” and it’s got some interesting takes on an 1870s America where supernatural forces have been unleashed and the civil war rages on. Werewolves are uncommon (as I recall), but the setting as a whole is interesting, and it does a good job of melding horror into a western.
Finally, if you’re going for pure fantasy, then Exalted: The Lunars may give you some good ideas. The Exalts themselves are ludicrously powerful, there’s a heavy anime influence mixed into the setting, but there’s also a lot of really smart worldbuilding. Including suggestions for what happens when the players start breaking things. If you’re completely unfamiliar with it, then the core book or liberal use of the wiki may be necessary reading. If the phrase “heavy anime influence” made you want to write this one off, don’t; it is worth looking at.