Short answer:
Warrior with blaster.
Wyches plain.
Reaver with blaster.
Raider with Dark lance.
Longer answer: Lots of good discussion on weapon choices throughout the site here but it will take you many, many hours to read through things. I'll give you my thoughts. First, don't be afraid to try magnetizing. Start out with a test (find some cheap whatever models off ebay, etc. and cut, drill, etc. until you have a good idea of what you are doing). Also, you can just stick to magnetizing what is easier, i.e. the front weapon on a raider, to allow a few weapon swaps. Some things I wish I had done earlier. Anyhow...
For the warriors' special weapons:
- Start with the blaster, pretty good all around choice. You'll find it stuck in troop units (to give them an emergency AT role, or to let them hit harder with AP2) as well as elite units so always good options to use them.
- That may be all you go with at first, especially if you only have the battleforce units for a while. After that it is personal preference as to the splinter cannon (SC) or dark lance (DL). The SC gives a troop unit range and a good amount of dakka. May be more value with a troop unit, not often found in elites as there is already plenty of AI. You don't find the DL in troop choices often. Can be a good elite unit, 3x trueborn with 2x DL. I use one or two of these units and like them; they generally get ignored and put out a decent amount of damage over the course of the game. To kit out trueborn you would need another warrior box though.
- Shredder is a distant last in the special weapons race. I wouldn't go there.
For wychs' special weapons:
- Personal preference. In normal squads many don't run any special weapons (I don't but give them haywire grenades for points, no special modelling needed).
- If you want them, the Razorflails do more damage than the Hydragauntlets. Shardnets are tricky to use effectively (have to be in base) and the effect is wasted unless it is a multi-attack enemy model. I like the Razorflails look and have modelled a couple wyches with them but I would just go without for your first unit of wyches.
- For your Hekatrix or Succubus (if you choose one), hard to go wrong with a venom blade. You can almost always find a use for one. Just make sure you have it be a distinctive blade (no specific model option, maybe just different paint). Agonizer is a popular choice but I think it is less effective than it used to be. I have them but don't use them anymore. I would set one of your wyches up as a Hekatrix with a blade (can always be a regular wych as well).
For reavers:
- Most common advice I have seen (and what I run)... No to caltrops or grav-talons. Caltrops can be good but leave them off for now (keep the bits and you can always add them later if you want, also an easy to magnetize option for later). Blaster or heat lance is probably a toss up. Lots of debate but I go with the blaster. Put one on.
- Build the arena champion. Even if you don't actually use the upgrade it still can be a normal reaver.
The raider:
- Dark lance for now. You will eventually want more AT (ravagers!!!), but start with this on your raider. Disintegrator can add some AI punch but Dark Eldar have that covered pretty well already.
You will find a few other threads on starter amy lists at all points levels and also what units to buy first/next. Read through a couple of those and you should be able to put together your priority wishlist for your next units.
Good Luck