Yeah, I thought lasers sounded the most practical. Like I said, though, I've considered describing a plasma weapon that would create a containment field all the way to the target and send plasma down it (I think that's how the plasma weapons work in the Halo video games). Or one that fires a small projectile that's basically a containment field generator... which would shut down upon impacting something.
I'm not worrying about how these weapons generate power or cool themselves yet. Such things are fairly easy to explain by making up exotic materials.
>>4 is correct about the over-penetration issue. The ease with which it would pass through a human being (or alien being) would limit its effectiveness and make it dangerous to use anywhere near innocent civilians.