Also, the game doesn't really explain this but different weapons scale with different stats. You can see which stats a weapon scales with by going to your inventory. At the bottom of the screen should be a section with multiple symbols representing different stats (strength, dexterity, etc.) Next to those symbols should be a letter, going from E (the lowest,) D, C, B, A, and S.
So say if you're leveling strength, find a weapon that has good scaling in strength (I think the large club has S scaling in strength) and stick with it. As you level up your strength stat, you'll get a large damage bonus with that weapon.