On the last chapter, you will encounter some huge Helghast that have riot shields and electric clubs. Be careful, as two hits from that club kills you. The best way to kill them is with heavy weaponry. Rocket launchers would be good, but there will not be any around the first time you encounter them. The Helghast Chaingun works fine, however. If you shoot at them enough, eventually you will hit them in the head and they will fall. This lets you shoot them while they are down. Alternately, run around crates and boxes until you can sneak up behind them, then rip up their back with the chaingun. Additionally, when you have the mini-Boss fight with the Colossal Helghast, the chaingun is the best weapon to use against him. Do not overheat it too much; fire in short bursts.