Magnum or the Shotgun (don't remember the name). First time through my friend and I did one of us with the shotgun the other with the machine gun. We each had a magnum for an "OH SHIT" moment, but i think we had the easy one to find and the one you find when you do the first Wesker fight later.
Personally I find L. Hawk magnum much better than S&W m 500. It fires twice as fast but is half as effective meaning it does just as much damage with unlimited ammo, but slow fire rate leaving M 500 clumsier against zombies and dogs.
But I got to admit there's something immensely satisfying about shooting a zombie with m 500.