Use them wisely. The weapons in Deus Ex vary greatly, from the latest in passive warfare, to the simplest of weapons, the tire iron. While most gamers will have better luck with the more passive, silent, and non-lethal weapons, the biggest and badest weapons of the times are available as well. Inventory space is limited in the game though, and pepper spray does take up less room than a bazooka. Many weapons in Deus Ex can be modified, as well.
Some weapons can achieve faster rates of fire, silence, and scopes for long-range shots, and so on.
As I mentioned above, there is a limited inventory space in Deus Ex. The inventory works a lot like Diablo's. There are a limited amount of squares and each object takes so many squares. While accessing the inventory pauses gameplay, you can place objects on your belt at the bottom of the screen to access in real-time. Objects that you can pick up in the real world are highlighted in a green grid as you approach them.