Ok, so here's my wall of text:
The standard loadouts are either Shotgun - Wrangler - Jag/Southern Hospitality or Shotgun - Wrangler - Gunslinger. If you equip the Frontier Justice (like I do), make sure you bring a pistol with it to make up for the 3-round clip. As I said above using this loadout isn't really map specific, more like sentry-placement specific, if you build the mini sentries in spots you wouldn't use the wrangler anyway you can be effective too, but that requires a little different style of play.
Use the wrench on Payload defense or 5cp defending last, otherwise go with the Gunslinger. I don't recommend using the Widowmaker at all, it's a waste of precious metal and it only has advantage if you regularly find yourself shooting more than 6 without letting go of M1, which you shouldn't really find yourself too often. I don't recommend Madmonekyjoe's loadout either, you can be very exposed to flanking scouts or spies with the Frontier Justice if you don't have the pistol to back it up (and you don't want to have the level 3 without a wrangler of course). Also, you usually die when your sentry dies, so you almost never get crits from it.
Another important loadout slot: don't wear bright hats/unusuals, you're just more likely to get headshot. If it isn't banned in your league, use the Hotrod to help your team spotting spies.
On 5cp, especially the larger ones like Foundry, make sure there's always a teleporter up. It can get frustrating when the 2 team can't decide on a point though : ) When the round starts put down a teleporter entrance, go back for metal (or just pick up the large box on foundry on the way) and put down a teleporter exit at another ammo box. Don't put the teleporter exit right to the point you're attacking, just like halfway through, and don't worry about people asking you to move it up. A teleporter which is always up but only brings you halfway to the point is much better than a teleporter which would bring you all the way, but it's always destroyed. On koth maps like Viaduct or Lakeside you have to make the decision if you'll put down a teleporter exit first or a mini sentry around the point to cut off scouts and support your team. At the first round I usually go with the exit, and you can see later if you could get away with putting down a mini sentry first. Watch some demos and practice a lot to find out where are the best mini sentry spots for each map, calculate in other factors if you need one where the medic stands for example, things like this. You have to cut off one of the scout's routes as well as cover the point or the place your team waits for the medic to charge too. On payload defense maps know the couple of sentry spots where will you build your nest, in setup ask for 2 or 3 suicides to get the extra metal. If the sentry is down and you don't have a teleporter still up and a significant advantage just go to the next spot and try to build everything up by the time the opponents get there.
The enemy you'll face the most often is the spy. When you have a level 3 you'll be his main target most probably, but the pyro should be close by, so it shouldn't really be a problem. On all other occasions though, when the pyro's sniffing the medic's ass and a frustrated spy would go for an easy pickings like you or the sniper they can be trouble. The best method to deal with the spy is to use your microphone. Always tell your team where are you and what class if he disguised as, then someone more prolific spy buster would come and take care of that bug : ) Some tips though while you wait for help though: don't try to meele them, half decent spies practice that a lot and they'll get you turn your back on them fairly easy. Don't chase them around the corners or up the stairs, just stop for a second instead and let them come right into the shotgun blast. If you have Frontier Justice - Pistol you have a better chance take them out, but it's better to be on the safe side and ask for help.
There are other things I wanted to write about, but got bored with it, might come back later : )