What is the best weapon strategy for a Rogue?

If we look at low level Rogue abilities such as: Sinister Strike, Backstab, Ambush, etc. We see a consistent trend of a percentage of Weapon Damage. Damage for these abilities is calculated:

base weapon damage + constant * (attack power)/14

In the case of daggers this constant is 1.7 and other one handed weapons 2.4. This is known as AP normalization. Additionally, only the main hand weapon is used in these calculations. As a result it is ideal to use a slower main hand weapon until you have sufficient attack power to influence your choice.

In the case of Rogues it is common to use Daggers as certain abilities (such as Backstab) require them. At latter levels you will gain other abilities which influence this selection (Combat Swords, Mutilate, Hemorrhage, etc), but at lower levels, slow Main Hand daggers is a preferred choice. A longer discussion of Main Hand weapon choices can be found here.

As a subtlety Rogue your "bread and butter" ability is Hemorrhage which does 110% MH damage (159.5% if its a Dagger as Daggers tend to be faster). I would suggest Initiative + Improve Ambush, making your combat look as follows:

1. Ambush (or cheap shot)
2. Gouge (later you'll use Kidney shot later in the order).
3. Backstab (or Hemorrhage)
4. Finishing Move
5. Hemo -> Repeat till Gouge/Cheapshot come back up or you have the Combo Points to Finishing move

Garrote can be a good opener if the target stays alive for the full duration. As most mobs won't while leveling, Ambush is usually the better choice.

As a Subtly Rogue you also trade on Dodge, Ap, Crit and Armor pen (the last of which you won't get in bulk till much later). Keep in mind that Agility gives you 3/4, but is not as cost effective as straight AP due to Deadliness.

Source

The most popular and effective choice would be to go for a slow mainhand (anything not-dagger), and a fast offhand (anything works). You'll want to use Hemorrhage as your primary ability to build combo points, with Eviscerate being your main finisher. This is standard fare for leveling as well as if you're running dungeons later on as Subtlety.

The alternative is to get a slow dagger mainhand and fast dagger offhand and focus on Ambush + Backstab. This synergizes well with Shadow Dance (allowing you to get periods of rapidfire Ambushes) and Shadow Step (sets you up for bigger hits and gives you automatic positioning), but is much more of a "PvP" spec than a "PvE" spec. You'll be able to do a lot of burst right out of stealth, but your sustained DPS is overall lower.

Regardless of what you choose, the reason behind slow mainhand and fast offhand is due to the nature of instant attacks. As either Hemorrhage or Backstab will be your primary combo point generator, and main spam ability, you'll get the most out of these abilities by using slower weapons that have higher top-end damage. Since weapon speed is irrelevant when it comes to how fast you can push those attacks out (energy dependant only), you want to make the most out of every attack.

That being said, it's pretty much agreed upon that Subtlety is the lowest DPS spec of the 3 for rogues at the moment. That doesn't mean it's not viable to leveling, as it has higher survivability / utility for leveling than the other two trees.

You want a 'slow' Mainhand. As Subtlety, this means a Dagger of as close to 1.8 as possible (Or higher when possible, but those are rare), or a Sword, Axe, Mace, or Fist of 2.4 or higher whenever possible. The reason is because this is the weapon whose damage your 'Hemorrhage' ability does damage based on, and the damage of those instant attacks is directly tied to how hard a weapon hits when it lands. Slower weapons hit hard.

If you aren't yet at a high enough level to have specced into Hemo, don't use a dagger - Backstab is a pain to use properly and doesn't hit terribly hard anyway, and Cheap Shot is a better choice of opener than Ambush.

For the Offhand, as subtlety, leveling, it doesn't matter much. If you are using a non-normalized poison on your OH (such as Deadly, or Crippling), then a faster OH will see it proc more, and this is why fast OH's are preferred at max level (when Deadly Poison is the OH poison of choice for mobs which live long enough for it to stack), but at low levels, you should just be using Wound Poison on both hands, the damage of which is unaffected by weapon speed, so just use the best weapon available, regardless of type or speed, for an offhand.