Just fought a battle with a crapload of various robots that took me forever becasue that damn Red Shield DT thing kept me from more than scratching the bastards. I'm level 20, and am scouring the heck out of this game, and am getting really frustrated with this freaking mechanic.  
 What are some good weapons that have a high Damage Threshold rating thing, but that aren't going to blow my leg off in close quarters like C4 or the Fat man?

Boone.

sniper rifles and anti material rifles with AP ammo
mele weapons like super sledges
gauss rifles
 
basically any weapon that has a very big DMG number is best even if overall DPS is not the best
plus use Armor Piercing ammo
 
Veronica can also do very heavy damage to them even with default weapon.

Yeah, it seems like a lot of those enemies are just about keeping your companion healed so they can annihilate them.  Boone is best for dudes with guns and armor, because he always goes for headshots, which usually bypasses the armor altogether.  Veronica has a bit more survivability against melee combatants, though cazadors and big radscorpions can still wear her out.
 
I still haven't found a decent strategy for radscorpions, other than running backwards in huge circles and plugging them with half my ammo.