On my first play through I always chose Ed-e. The fire power, the ranged fighting, the flying robot that everyone comments on, was awesome, and I totally ignored Rex. But then on the third ending I always felt that I was too safe, Ed-e or another companion would always take them out before I could even upholster my weapon. I never got to complete any challenges because they took them all.
So this time I chose both Veronica and Rex, and I discovered two things. First, with both companions being melee, the time their charge gives me to upholster, aim, and unload. Second, their charging then distracts enemies, allowing me to shoot them in the mean time or maybe they can soften up hard enemies enough to let me kill enemies to still count for challenges.