They should just add a "burden" or weight feature so you can carry as many weapons as you can, but suffer a penalty for it. They could either add a movement/speed penalty, make you tire faster, or add inventory slots that you can fill up. I like the system in Fallout 3 (I think it's from here) where you could expand your inventory as you leveled up and got stronger.
Realistically, if I was a one-man-army like DBZ said, I'd carry 2 pistols, an assault rilfe or range weapon, and a heavy damage weapon like an RPG/bazooka/grenade launcher. It'd be easy enough, one on each shoulder and your side arms on each hip or on a shoulder/chest holster.
I don't like that the game designers restrict what you can use to "make it more challenging". They should just make the enemies smarter or greater in number, not limit what the player can do to kill them.