Pick the weapon you like and go with it, change weapons as needed.
There is no major advantage to using a dagger over the other weapons. You do get some skills that decrease the targets defence to Pierce but I have not found the effects to be that noticable.
I find its best to pick a couple weapons you like and switch out as needed. For example, using a dagger on a Skeletion doesnt do you all that much good. :) I keep all my weapon skills maxed so I can use the best weapon I have at that time. I use a Rapier and a Whip, mainly because it gives my char two tails. :)