Phase Blades are actually pretty awesome - 21 damage is pretty nice until you start getting Molten equipment, the swing speed is nothing to be sneezed at, and the sheer awesomeness factor rounds it out.
Space Gun isn't bad if you don't have any other magic weapons. (You could always dive into the dungeon and try grabbing a Water Bolt, I guess...) Goes nicely with Meteor Armour, though you'll need a few meteorites to make a full set.
Meteor Shot is decent if you've got yourself a gun. That said, it's obviously useless if you
don't, so unless the musket dropped when shattering shadow orbs, don't bother. Also, you get 100 bullets per bar of metal, so it's not really a "build this item
or something else" kind of deal.
Star Cannon is only useful if you've got lots of stars and are willing to burn through them. It also makes previously-impossible fights trivial, while being totally useless and freakishly expensive the rest of the time. I wouldn't bother.
The Hamaxe is mostly neat because it clears up a hotbar slot - you'll occasionally want to chop down trees, and you'll occasionally need to smash backwalls or life crystals, and thus you'll either have to occupy two hotbar slots or you'll have to enter your inventory each time. One other advantage, like Urist pointed out, is you don't need an autoclicker slot to constantly swing it, unlike the Phaseblade.
Meteor Armour is technically out-classed by Cobalt Armour, though the latter basically requires hours of farming in the Jungle. It's handy if you've got mana-consuming items - Rocket Boots are obvious, but there are also a number of very powerful mana-using combat items. (I'm a serious sucker for Water Bolts, for instance.) Like the Meteor Shot, though, it's useless unless you've found a matching item - in this case, a spell or two. And it's seriously time-consuming to create if you don't have a
really good reason!
So yeah, I'd go for a Phaseblade first, possibly followed by the Hamaxe, then possibly either save up for armour or make some Meteor Shot.