Missions vary between simple dogfights, stunt flying and attacking a Zeppelin. In the instant action menu the player can alter the aircraft default loadout and even redesign a new fighter. Each aircraft has a default number of guns of varying caliber and a set number of hardpoints for unguided rockets. But the damage each inflicts can be changed by choosing different ammunition. The standard round is a slug.
Explosive rounds increase the damage somewhat.
As enemy planes are usually armored it's worth loading one of the guns with some armor piercing rounds. Dum dum bullets pack a wallop but don't really affect armor. The way to a quick success is to pound an enemy with some anti-armor rounds until the plane is smoking and then finish it off with a few dum dum shells. In fact if you think of Crimson Skies as Starlancer set in the 1930s rather than as a flight sim you should have a good idea of the whole gameplay experience. Rockets come in a variety of flavors.