Heavy machine guns are the three hundred pound gorillas of the weapon world. Take this training if you like big guns that fire a lot of bullets.
Heavy Weapons do very high damage and have good Armor Penetration, but a single shot takes a lot of Action Points, so using them can slow down the Ranger. They are also very heavy, and thus take up a lot of inventory space.
They are also very expensive and sometimes hard to find ammo for. That said, a single opportune use of a heavy weapon may swing a seemingly hopeless fight in your favor.
Note that Heavy Weapons only includes machine guns, not rocket launchers, which use no skill at all.