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All types of weapons are perfectly balanced in EVE Online. So it is reasonable to use different types of weapons depending on purpose and target. Before using a weapon one has to lock the target. Drones can also attact by themselves, but this can even be harmful sometimes.
There are 3 main weapon systems – drones, turrets and laucnher system. Separate skill groups are responsible for different types of weapons – Drone skills are necessary for drones, Gunnery for cannons and Missiles for missiles and rockets. Weapon Upgrades are also very useful skills from the Gunnery skills group, since they influence upon missiles, too.
Turrets and rocket launchers are plugged into high slots on ships (separate turret and launcher slots), and drones are stored in the drone bay. Due to this different ships better deal with certain types of weapons – turrets, missiles or drones. Lasers are also plugged into turret slots.
Smartbombes can be plugged into any high slots. There is only 1 skill in the Engineering group responsible for them.
All weapon systems actively use the CPU and Powergrid of a ship. To save up CPU and power there exist Weapon Upgrade and Advanced Weapon Upgrade skills. The former reduces CPU usage, the latter – power usage. The bigger one's ship is and the more powerful the weapons on it are, the more important are these skills.
All types of weapons and cartridges cause 4 different types of damage -  ЕМ (electromagnetic),  Explosive, Kinetic,  Thermal. Respectively armor and shields of different ships have different resistance against damage types. Shields usually are worse against EM damage, armor is less efficient against Explosive damage.