[Legolas]

You can pick a simple weapon and it shouldn't cripple your character. The differences are fairly small (about +1 dmg/hit) and become less important as the items are more heavily enchanted and much of your damage comes from other areas like buffs, sneak attack bonuses, a high strength modifier and so on.
A better reason to pick advanced weapon proficiencies is to allow you to use magic items you're not normally proficient with. You might find a greatsword which can cast a spell for you or a katana with elemental damage to cut through a monster's resistances. It's never a bad thing to be versatile.

That said, martial weapons are automatically better than simple weapons with exotic weapons better still. If you use ranged weapons and aren't a rogue, or if you play a warrior class, a bard or divine caster, you could consider upgrading to new weapon type options.

If you want to crunch numbers though, there is a lot to keep in mind. Aside from the damage die, threat range and crit multiplier a weapon's use also depends on whether it works with Weapon Finesse, on its weight, the damage type(s) and above all its size (relative to yours). Special rules apply to some of them like dual-headed weapons or to morning stars and light flails. Ranged weapons in particular all play by different rules.
I think the best advice then is to pick something you like for your main weapon, if you need to specialize in anything at all.