Until you get used to it, HMP seems heaps harder. Everything is just that bit faster and more accurate.
I found that either shotgun builds or pistol build were the best while I was learning. A shotgun with Reloader(2) is a very effective weapon, so is a pistol with SoaG/DG. Shotgun builds tend to be pretty specific to a certain character class (otherwise they lose power a lot in late game) where as pistols work with any class.
For pistols, just try a non-master build. Making either Speedloader Pistols or using bulk-mods on them helps a lot.
For shotguns, there's a huge range of options. Here's a few early-game builds to try:
A marine with finesse, juggler and badass. Switch with shotguns to double tap enemies (all un-armoured formers, imps and even demons will usually die to two shotgun blasts), and you can also pull out a pistol or chaingun as an instant backup weapon. 200% life is nice as well.
A technician with reloader, reloader, shottyman. Use your tech-mod in the first shotgun you get. Having a 0.8 sec fire time, 0.6 sec reload and moving reloads is very nice early on.
A scout with Int(2). You'll have perfect corner shooting, excellent radar shooting, know how much life there is on the level and be able to run to the stairs whenever you want. You'll also know how to time your "run mode" bursts and whether you can zerk/imvulnerabilty bounce through this level. So very powerful early on, you almost can't help beating the arena even in UV.
None of these builds are necessarily great for the late game, but they're all good starters so you can get deeper into the game and learn some tactics as you go. And remember, when using a shotgun, press the run button (tab key). You can run more than you realise, so use it a lot. The damage you dodge really adds up, and every health globe keeps giving you more running time. Shotgun builds should be running as much as melee builds (ie, almost constantly).
Hope this helps.