In my experience(emphasis on the word mine), depends on what you're facing, but generally
Warhammer/Mace: hit quick, disable the enemy in just a few hits ignoring armor, but dont decapitate, and dont kill very quick at all. Usually combat log is 4-5 pages in legendary Dorf vs. Goblin. Silver hits best through armor, steel hammers are better against unarmored(Goblins and Elves). Hammers are usually preferred over maces, but in my experience the difference is marginal, and a hit in the head is a kill any way. Dwarf skill plays most important role there.
Spear: good penetration, usually disables the enemy nearly as quick as hammers, but kills them quicker. Simply a must to have in case you meet bigger critters(FBs, Titans, semimegabeasts(excluding bronze colossi), Goblins' mounts(giant bat, giant cave swallow, rutherer and especially jabberer, also Trolls). Against goblins the drawback is that often 1-2 first hits go to shield hand, feet and legs, allowing the bad guy the chance to hit back before they bleed out or are disabled by a torso hit. Good penetration so bronze and iron both work, against typical opponents, as well as steel and candy.
Sword: slash & stab, in my experience kills Goblins and Elves the quickest of all weapons in bigger fights, but only if its made of steel or candy. Iron and bronze made ones, when slashing, dont penetrate iron armor too well(unlike spears), at times not even copper or leather. The stab still works but the penetration depth is bad. If you want to pick just one weapon for all of the military, use swords or spears, and still have a backup squad of the other.
Axe: most powerful single attack, ie. most likely to decapitate one-shot, but like with swords, iron and bronze made ones dont always penetrate iron armor. Slow attack speed means in bigger fights the enemy gets to hit back more often, before getting neutralized, though. Best made out of steel & candy.
As for Dwarves like to keep bashing an already disabled enemy with their hammers and maces, instead of going after the bandits still intact, so you might want to use hammers and axes mixed 50-50% for quick disabling & finishing off, or spears and swords like I usually do(so that instead of 50%, all 100% work against both humanoids and critters) - but preferred weapon(s) of course depends on the enemy and what you have available. Without steel spears and hammers become more attractive, without bronze you can drop swords and axes completely, and without iron, its hammers, maces & crossbows; and pray Armok you never meet a Bronze colossus or worse.
EDIT: also,
http://df.magmawiki.com/index.php/Military_testing