Hi all, Eldrad Vect here. Ah, the humble Power Weapon, the tool of champions and no name squad leaders, however in 6th edition they released the new rules on the different types of Power Weapons, this was awesome and I think one of the greatest things in the new rulebook (I love 6th Edition so much). It does beg the question though, what weapon should I use? well I'm here to give you the run down on what I think are the best choices for each race.
Space Marines/Chaos Space Marines (and Codex Chapters)
Power Sword and Power Axe:
Starting with the most popular race in Warhammer, Space Marines and their evil counterparts excel when using all weapon types but are particularly effective with these two. Since their base Strength is 4, the Power Sword is exceptionally useful, it's AP3 at full Initiative means in the hands of a Space Marine, can pull apart xenos and MEQs with equal ease. The Power Axe is also a great weapon for Marines but should be used defensively, i.e. if you have a Devestator (or Havoc) squad leader with a Power Weapon make it a Power Axe. The reason behind this is that the Power Axe's +1 to Strength and AP2 gives it sundering power unmatched, so it is effective at holding off attackers as it mean you won't lose combat and may even sweep your attackers since the upped Strength give you an greater chance to wound your foe.
Dark Eldar
Power Sword and Power Lance:
Dark Eldar need speed above all else and the Power Axe is too clunky for Dark Eldar and is also unnecessary because almost every Dark Eldar unit has access to AP2, whether it be shooting or CC, not only that but they have access to one the best Power Weapons in Warhammer, the Agoniser which always wounds on a +4 and is AP3 which can carve through Infantry and Monstrous Creatures. The Agoniser also makes the Power Maul useless too. Power Sword is for your shooty units to give them continuous AP3 to help even the Combat Resolution and maybe prolong combat so a more aggressive unit can help, where as the Power Lance is for your attacking squads, the +1 Strength on the charge is very handy for Dark Eldar. Personally, I typically use Agonisers but I do use Swords and Lances sometimes since they are cheaper than the Agoniser.
Imperial Guard
Power Maul:
Imperial Guard Sergeants should only ever wield Power Mauls, for them, the +2 to Strength allows them a chance to pummel even Marines in combat. No other Power Weapon is worth it, in my opinion the Sword is too weak, the Axe not needed and the Lance is pointless because IG don't often charge into combat, (well, I do).
Sisters of Battle
Power Maul and Power Axe:
Sisters are weak, sad to say it but its true, S3 is not very good and unlike Eldar and Dark Eldar, these chicks ain't fast, with I3 they have the same problem as Guard. The Power Maul and Power Axe buff the Sisters to new levels, if your going to strike last anyway may as well do it with an AP2 Axe and take some foes out with you.
Eldar
Power Sword, Power Lance and Power Axe:
The Triforce of Power Weapons used by the Eldar all work well, Swords and Lances keep the Eldar's high Initiative whilst killing Infantry easy, even Terminators or other 2+ Armour save units if the Jinx Psychic Power is in play, however you may be wondering why I have the Power Axe on this list. Eldar Aspect Warrior Exarchs have good armour and WS, this means a good Power Axe doesn't go to waste, however I only use this on units that is makes sense to, an example of this is one of my Dire Avenger Exarch, I always play Power Weapon and Shimmershield but the Diresword is AP2 and in order to give the unit a +5 Invuln. Save I have to sacrifice the AP2... well, not really, I simply give my Exarch a Power Axe, this gives him both a lovely Strength bonus that makes him quite a good Marine killer and the AP of 2 that he was missing out on. So while it all depends on your squad and what you like to use.
Orks, Necrons, Chaos Daemons, Tyranid, Tau, Grey Knights.
Sorry you guys, you either don't have access to conventional Power Weapons or have unique weapons that a similar but way better (i.e. Boneswords, Warscythes, Hellblades...) just keep doing what your doing and you'll be fine. I know that some of them do have Power Weapons but it is not as widespread as the others.
Whatever Power Weapons your troops wield just remember, it better than a Combat Knife.