Any martial weapons are good. Hell, some immortals use guns, though it's generally considered dishonourable and contrary to the rules of the Game. 99% of immortals will fight fair, though a fair few keep tricks up their sleeves (hidden daggers, for example). From what I've seen in the show, only one immortal has had gunmen shoot down an enemy and then decapitate him. I've seen lots of other shit, though... Kalas once ran over an immortal, took his sword, and killed him with it. Slan Quince had a special attachment to his sword that shot a projectile from the hilt. Methos used a hidden dagger to defeat someone who had been after Duncan's head when he had gotten to the guy first.
Yeah, it depends on the person...