Well, from having played the demo, I've so far only encountered the guitar, the baton, the frying pan and the machete.

The Baton. I conked a few zombies and got very bored with it very quickly. That said, it's one of the quicker weapons, so you can wave it around loads and it recovers to the ready position a lot faster. It does moderate damage, but hasn't got anything more going for it than that really, especially when you compare it to the other toys in the cupboard.

The Frying pan, I have to say is my favourite. I don't know that I'll EVER tire of the noise of it swooping majestically through the air, to land with a resounding "BONNNNNNGGGGGGGG!" on the skull of an infected. Damage-wise, it's fairly potent, handling even a charger SI well. Personally, I used this in conjunction with a bile bomb in order to take down a tank, and I eagerly await the first video of all 4 survivors using nothing BUT pans to take down a tank/complete a level. It doesn't recover to the ready position too quickly, but it's still no slouch, allowing for horde-smiting quite easily with only the occassional shove required.

The Machete. It's fast, it's a cutting tool, it's got a heavy blade for that purpose. Possibly the most well rounded melee weapon currently available, it has good speed and damage, although it has a fairly small-seeming arc when in use against hordes. That said, if you have an adrenaline syringe, you can go wading into a full horde on your own with relatively no fear. Pure carnage.

The Guitar. Heavy, with a wide arc of damage, this 'axe' is great if you're a confident player when swamped by hordes, or want to really get up close n personal with the SI's and tanks. The only down-side is that this same wide arc means a long recovery time 'til the next swing, especially when compared to the machete (which does almost comparable damage, allbeit with a smaller arc, imo). To compensate the player for this, every time you hit an infected it plays incredibly satisfying discordant notes. My, how I lol'd!

I'd say that using any of the currently available melee weapons is contingent on your team-mates. If they're adept at providing solid cover while you swing away, go for it. IF not, I say stick with the pistols. The trade-off is fun, but can be capastrophic if playing without decent back-up, especially since the Director 2.0 seems to have worked out how to use the SI's in conjunction with one another at higher difficulties.