For the most part, guns, but there are some times where a missile or two will help make things easier for you.
For example, in Privateer you can lock onto one fighter, double-tap it with IRs while you're engaging another target with your guns. (FFs don't work as well, and of course HFs and DFs are useless for the purposes of "over the shoulder" shots.) 2 ImRecs will kill a Talon, and put a hurt on a Demon (and to a lesser extent a Centurion).
Also, lobbing a missile at the drone you run into later in the game will make it go into evasive manuevers, even though the missile can't hurt it. While the drone is farting around with dodging the missile, you have extra time to get away. Particularly useful if you run into the drone on the way back from the steltek ship, at one of the nav/jump points in an asteroid field (my very first encounter with the drone was in the Delta system, at the Delta->Rygannon jump).
Then, of course, there's WC4, where missiles are deadly when they hit. Especially on the atmospheric missions, missiles are a godsend (and also a curse, if you're the target). During the first Tyr mission I packed a rack of ImRecs, and a pack of Leeches. ImRec for the missile turret as soon as I get out of autopilot, and a leech for the Vindicator(s) there (the ace pilot, for the points where there was 2 Vins to engage).
Also useful during the jamming missions, where missile guidance doesn't work, are dumbfires. In addition to the obvious usefulness against the jamming ship in the last Peleus mission (a 4-missile salvo of DFs will make a frigate's life pretty short), often when engaging a fighter in the earlier missions, the AI was easy enough to tail in a good ship that it didn't take an exceptional degree of skill to lob a missile up a Bearcat's or Excalibur's tailpipes, though obviously it wouldn't be as easy as an ImRec or FoF.
I don't think I ever used WC1 missiles for any reason beyond "why not", though...