[Caspian]

Gun: High damage output, but not quite as good as it was pre-patch, but still fun for big numbers (very high delay)
Bow: The old standby and my personal favorite. Great damage (later on can do even more than gun, with enough + ranged attack) And all around sexiness
Xbow: added effect bolts, Acid bolts for destroying a mobs defense and dispelling a lot of mob's Def+ moves; Holy bolts for good damage for TP'ing and the added effect is great; Mythril and Darksteel bolts for WS's and barrage. Probably the cheapest of the three later on. As a woodworker, I can make all my holys and acids for free, just by selling off the excess. Very good damage, and acids help all the melees in your party.
Keep both marksmenship and archery capped. Whenever you level just cap the one you're on, then switch to the other and cap it. They both cap very quickly. Guns are nice and all, but I wouldn't mess with them until you can use regular bullets at the earliest, and maybe not even until silvers at 50 if you don't want to spend the money.
Sweet spots: Gun sweet spot is just outside melee range, I believe when you just start getting the "mob is too far away" messages is roughly where its at. You can always fiddle around with it a bit and make sure, you will see enough of a variation in damage to pinpoint it. Xbow is a few steps back from that, not totally sure on this one since I haven't xp'd much on rng until just recently, and haven't used a gun since I've been back. Bow is the farthest out. You're a long way from the mob on this one. Using the compass I believe you want the red dot of the mob to second line from outside the compass. I hope that makes sense, Macht may be able to describe it better.
Overall, I prefer bow for xp'ing. Especially when I get Ebow at 55 and the dmg difference becomes much larger b/w bow and xbow. If you're in a TP burn party, one rng using acids is nice because it shoots everyone else's damge through the roof.
Also, xbow is nice when soloing. Bloody bolts and Sleep bolts rock.
Hope I got everything, if I did maybe some of the other rngs can fill you in on what I missed.

EDIT: had gun and xbow sweet spots switched, saw one of Dan's posts and realized I had it backwards. Why do I always do that? I must be sweet spot dyslexic.