Oddworld: Soulstorm Enhanced Edition

As you play through the game, you're likely to get all of these except one. For the record, the common types are shotgun, assault rifle, gatling gun, flamethrower, and rocket launcher for both walking and flying sligs.

The last one is the sniper rifle slig, which as far as I know you can only possess in chapter 5 (Sorrow Valley). When you get over halfway through, you'll have an objective to "Get rid of the snipers." You have to possess a flying flamethrower slig and manuever him through a series of obstacles so that you can kill all of the snipers impeding your progress. Once you get through the obstacles, stun the flyer with LT while close to a sniper and then immediately move your possession orb to the sniper.

Chapter 5 is also a decent place to get several other types - flying sligs with assault rifles, shotguns, and launchers abound. But if you somehow finished this game without having possessed all of the non-sniper varieties, the rest can be found in the Brewery (Level 16) as you make your way through all of the Tear Extractors.