Some favorites being the Crossbow and powered Dragonclaw in Heretic and the Arc of Death and Firestorm in Hexen. Oh yeah, and both of the games got very rewarding weapons for the most part. I really like them both, but for different reasons. Since they affect all the players if they are close enough, but again, in different ways depending on what class they are. But also artifacts that are extra useful in coop.
Hexen also have special conditions for Coop, with different classes and different artifacts doing different things for the different classes. But it's very nicely balanced with the artifacts that are also efficient weapons creating a much more varied game play than any of the other games. The greatness of Hexen though is the weapons and the artifacts. I dunno if people noticed, but there's a lot more to it than just 'a door opened somewhere in some place' So for the person that likes a bit more puzzels, Hexen is the win. Hexen got great atmosphere and a bit more work done on level progression than Heretic, which is a lot like Doom. There are great artifacts to use in it, but they aren't really up to match the artifacts of Hexen.
The atmosphere is different from most anything else which makes it special and memorable. Heretic is really nice with the weapons and the variety in that department.