I seem to be earning some serious weapons (or enough to help me kill everything so far) so I'm never really tempted/interesed in buying any from the man - usually really expensive, or nothing that jumps out as exceptional anyway.
I'm level 33 so far, and I'm happy with what I've got up until now.
Have you bought any weapons? And if so why? Are there some weapons that you can only buy or, if I obliterate everything in front of me I can get my greedy hands on all the goodies out there?
Items in vending machines are randomly generated in the same way as items that spawn in chests and drop from enemies (source). There are no weapons that are unique to vending machines as far as I know, and I've logged well over 200 hours so if there were you likely won't find them.
However, you can still find some interesting weapons in vending machines and you should check them whenever you pass by. As an example I found a level 16 savior in a weapon vending machine (a unique smg with ammo regeneration) that I've used from levels 16 to 44. However, I wouldn't go out of my way to check all vending machines. You'll continue to find guns that help you kill everything you encounter just by picking up drops.
In terms of things being expensive: at level 33 you aren't earning enough money to make frequent purchases, unless you're a hunter with strong rogue skills. But soon enough and definitely in playthrough 2 you'll be making more money than you know what to do with. My level 61 has well over 120 million so I can make a vending machine purchase whenever I feel like it without putting a dent in money.
If you do get the General Knoxx DLC, there's a better way to get guns than obliterating things, be sure to watch this video demonstrating an item farming glitch.
I rarely buy weapons from shops, although I do keep an eye out for nice class mods and shields, most of what I use have been self found via chest farming on the last storyline mission of knoxx or from crawmerax.
Out of the 4 primary end game guns I use (lev 61 hunter), all 4 of them were from drops. Though the sniper class mod I'm using was store bought (provides sniper critical damage, sniper weapon damage, and ammo regen).
