I know you can do cool stuff like ride the rockets and parry coins and grenades, but most of the time I just can't get into the zone with the weapons.
Are there combos that work well, or should I weapon switch more? What are done of the general strategies to get the must out of Ultrakill?
It’s best to think of the weapons like tools in a toolbox (cliche as that sounds). You can just a handful of weapons in overlapping roles at first but in time, as you experiment more, it comes easier to you what the situation calls for and which tool does which best. I was pretty much using the coin-pistol, shotgun and feedbacker most of the time in Act 1 before I got a good handle and branched out.
You can look up some combos from youtube to get a good idea on the bread and butter