The Dragon's Tooth and 20mm HE grenades can solve most problems - but have a limited range.
The GEP gun is a very versatile tool that you can use to solve any problem. (Remember: If rockets aren't solving your problem, just use more rockets.)
The sterling properties and uses of the GEP gun include:
... Has abundant ammo.
You find rockets the entire way through the game.
20mm HE is less abundant.
... Is a one-hit kill
Destroys nearly all enemies in one hit.
Exceptions: the big military robot, which takes two GEP rockets, and one boss, who has the Aggressive Defense System augmentation.
... Picks locks
Save your lockpicks!
If it can be broken, the GEP gun will break it.
Use GEP rockets to open breakable doors, windows, chests, and lockers.
The Dragon's Tooth will break some of these things, but not all of them.
The 20mm HE will also break these things, but ammo for it isn't abundant enough.
... Disables security
The GEP gun destroys cameras, turrets, and alarm panels, without any need to invest in Electronics or Computer skills.
The Dragon's Tooth can also do this... but only if you're close enough to hit.
The 20mm HE will also break these things, but again, there's not enough ammo for it.
... Is a sniper rifle
The GEP gun can be used at long range to kill (nearly) anything in one hit.
This makes it more versatile than the assault rifle's 20mm HE grenades, which have limited range.
... Clears rooms
The White Phosphorous GEP rounds are a wide area anti-personnel weapon.
WP rounds set fire to everyone and everything in a large radius. They work great against squads of MJ12 soldiers.
They are superior to 20mm because they leave the bodies intact, for you to loot. (Note : In modded Deus Ex, i.e. Revision, gibbed enemies do drop their items on the ground. So blast away!)