I wish I still had the ability to access the old post I made on the AnimaRO forums about this. I actually had detailed out exactly how much damage a mace, chain, axe, and 2H-axe each did to each different monster in Skellington.
I believe the overall conclusion, though was that the 2H-axe was the clear damage winner, but, of course, you are sacrificing a shield for that extra damage. The mace, chain, and axe were all very close (within 5 damage or less of each other), and all would allow for a shield. The Axe was a tiny bit better against some monsters while the mace and chain edged out slightly higher on others (depending on whether the monsters were small, medium or large). The differences were so small, though, that if you translated it into how many strikes it takes to kill one monster, they'd probably be exactly the same.
