Didn't see a thread on this yet so I figured I'd make one. Extremely early in the game (before even leaving the first town) simply grab a shovel and go north (link to image below) and dig up Chance's grave for Chance's Knife. There's usually a bird on the grave so look for a green widget on your radar to help spot the exact location. This knife is so good it made me want to go melee spec - even not being melee spec it still is tearing people apart.

http://sphotos.ak.fbcdn.net/hphotos-ak-snc4/hs906.snc4/71978_444171049638_642464638_5409073_5342853_n.jpg