Truth be told, the "best weapon" in any game can vary a bit from player to player, depending on which ones fit your playstyle best. That being said, there are a few weapons that are particularly powerful, and even if you're not skilled with them, having them on your player while going through a difficult battle will give you a bit of an upper hand.
In Bayonetta 3, one of the best weapons you can play with is the Cruel Altea — though it is, admittedly, only unlocked after completing the game.
While the base weapon Bayonetta has at the start of the game, Colour My World, is a solid weapon to use throughout the entire title fi you're not a fan of change, there are some other weapons that are worth the effort.
The Sai Fung, for example, is a set of guns linked together by a chain, letting players not only shoot down enemies, but also wield the weapons like nunchaku.
Beyond the above, though, the best weapons in Bayonetta 3 are unlocked only once you complete the game.