My favorite is the Pirate's Blade that you get from the vengeful shades on the small island north of Fort E. (You need the Orb of Thralni to get there)
With it, you regain hit points as you melee and it's also a powerful hand weapon. Although their are better weapons in the game, it takes a lot longer to get strong enough to reach them, and the sooner you can get a powerful upgrade, the more useful it is.
The really powerful items like the Fury Crossbow are great, but you only have them for a relatively small portion of the game. I value what I can use for most of the game. (Actually, once I get the Pirate's Blade, I use it for the rest of the game)
My second choice would be the Blessed Bow, for the same reasons.