Well you can holster your weapon to run a bit faster.
As for loadout, I've kept the Winterised Power Armour from Operation Anchorage, and rely on a combat shotgun for up close heat shots plus it's easy to find spares and ammo for, a rifle and a tesla coil (droid/turret killer!). Apart from the telsa coil, that's pretty much been my staple for the majority of the game.