When using conventional weapons, the best way to kill Lobstermen is to first stun them with a thermal tazer. While unconscious, they can easily be killed with a small explosive such as a magna-blast grenade.
Lobstermen are very weak to melee damage, reasonably vulnerable to sonic and freeze, and highly resistant to gauss, AP, and HE.
You can also kill them with phosphorus ammo. I don't know what their resistance is to it, but it will bypass armor. Might take a lot of hits, but eventually it will die.