So far I have just sold the ones the bosses give me (purple ones). I got a very powerful shotgun from Sledge, but the accuracy was rubbish so sold it for over 3000.
Keep your eyes out for guns with red text in the description box. They're generally the ones from bosses or orange-coloured. Although Sledge's shotgun has zero accuracy, it is actually very powerful as you can knock enemies back with it and stagger them whilst you reload.
I would advise always trying guns with red text to see if they are any good or not. Sometimes they also have effects that are not listed.