Explosives; dynamite, grenades, C-4, smoke grenades, pipe bombs, molotovs, mininukes, whatever I can find.
I use a wheelbarrow to go looting, and I always keep a few loaded crossbows in it, allowing me to fire several in a row rapidly.
Another excellent backup is to have a holster or two with loaded flareguns, you can setup piles of flammable stuff and then shoot them with a flaregun when the enemies get close.
All that aside, By far the best tricks to have are Probability Travel and/or Time Dilation, both can allow you to escape from certain doom with trivial ease depending on the situation. My favorite is PT, which allows me to sleep inside locked bank vaults which are exceptionally secure.