Oh yes, you have to switch weapons all the time. Maybe not THAT much in Q3A, but you definitely need to do that in UT2004 or you're dead - real fast! Take the example of Q3A. The weapons that do the most splash damage are the Rocket launcher, the plasma gun and of course the BFG. So it makes a lot of sense to whip out the rocket launcher and take out a lot of health from the other person and to switch to a weapon like a plasma gun (if the person is close enough and you need a high rate of fire) or the shotgun (if the opponent is at a low-medium distance and any contact with the shotgun pellets is immediately fatal because of its spread) to finish them off.
When it comes to UT2004 its a major hassle, especially in the ONS mode. You would need to use the AvRIL to take out land based vehicles, the lightning gun to "soften up" the airborne vehicles before taking them out with the AvRIL, switch to the Link Gun to (chain)/heal your node/vehicles as well as inflict damage, switch to the rocket launcher's primary fire for maximum splash damage then switching to the combo fire or the Flak cannon or the chaingun to finish them off, depending on the distance they're away from you. Switching weapons effectively to rake up a frag might just prove extremely critical as that would mean you may just have enough time to get the node under your control so you can spawn at it.
