There are some really good weapons later on down the line that can get you massive gains in health from rally. Typically the larger, hard hitting weapons (the Hunter Axe you can get at the beginning is one of them). I'd keep a look out for them and experiment with them if it's the play style you're going for. It's perhaps my favorite mechanic ever implemented in a video game.
I wasn't too fond of the holy blade personally. Part of it being I fucked up the build I was initially playing it with in not realizing it was a quality weapon, and eh, using a generic greatsword in a game like Bloodborne that is full of so many exotic weapons, I just wasn't have fun with it. But I recognize how powerful it can be with a proper build.
I much prefer the faster, skill-based weapons. Threaded Cane is nice, but I was quick to dump it once I got the likes of blade of mercy and the church pick. Maybe I'll start another build dedicated to using the cane all the way through the game.
Still love larger weapons like the pizza cutter, hunter axe, and bloodletter though. The latter two are still quite quick, and the pizza cutter damage is just out of this world.