I know that the .45 Automatic is probably more popular, where it can be taken, but I've found that the .41 Derringer is a nice alternative for the less fighty investigators. That +2 can count more for weaker investigators more that the reliable additional damage of the .45 Automatic.
The other competition for weaker investigators is the Fire Axe. It's cheaper to play, reusable, and it can reliably do extra damage (if you can afford to spend all your resources) - but if you factor in the cost of increasing your combat, it actually becomes more expensive for x3 +2 attacks. Although I see a lot of decks sporting Fire axes, for support investigators, I think that the case for it over the .41 Derringer isn't as clear cut as it might appear.
And Baseball Bat, while lovely, does take up both hands, and I find reliably breaks at the most inopportune moments.
To be honest, I came across this while using the .41 as a filler weapon for Jenny Barnes, while waiting for her Jenny's Twin .45s to come out. Clearly, they are better, but the .41 wasn't bad.