You dont really need to explore, other than doing sidequests.
the vending machines are area specific leveled. so if you're in a level 5-10 area, you will find level 5-10 stuff to buy, and will need to go to a higher level area to find higher level shops.
Yeh, it's probably a good idea to have weapons of each type. But I am a massive weapon horder.
BTW, in america and england borderlands 2 is on half price sale now....