For bloodlust tree based build, Tediore SMG's do gross things to baddies. High fire rate guns are nice to help with building bloodlust stacks.... so look to Vladof. Tesla AOE grenades are super duper stack builders, with the Storm Front being the high end option.
He can also be built to max explosive weapons, by going with the mania tree combined with class mods that boost explosive damage. So look to Torgue for that.
I haven't used Hellborn much, but it's all about elemental weapons.
Basically, Krieg can use most anything with the right build.
i saw something about a skill of his that is bugged? can anyone explain?
The skill you're probably thinking of is Flame Flare, which is in his Hellborn tree. The idea behind the skill is that it can be used to reignite Krieg, since if you go down that tree, he gets a number of bonuses for being on fire. However, the way the skill currently works is that it's more likely to pretty much down you instantly than be of any use.
It's not essential by any means, and if you decide to go Hellborn, you can easily get to Raving Retribution without speccing at all into Flame Flare.