You can really reduce damage by using cover. At higher skill levels, the carrying capacity can really matter. If you find yourself without ammo, or needing a different weapon, use the drop weapon key to get rid of some unwanted guns. You will find that some levels only have enemies with certain types of weapon and ammo refills. Dropping weapons is very useful in this situation if you've out-fitted with the wrong ones.
Weapons affect different enemies differently.
Pay attention to the crosshair. It will turn red, when you have a target in the sight. It's as easy as putting round pegs into round holes. Reload your weapon if you have time between firefights. If you wait and run out of ammo in the middle of a fight, you can get interrupted in the heat of battle when you run out, and have to take a second to reload.