Weight makes the cue sluggish--this is perfect for beginners and masks stroke errors. It is a detriment to advanced players. A light cue accelerates faster and can impart more power/spin in the cue ball.
If a cue is too light it looses its feel and magnifies stroke errors.
If a cue is too heavy it looses power and the ability to use touch.
Therefore, in general, there is a happy medium somewhere between really light and really heavy. Most people find this happy medium in the 19 oz range.
In addition to absolute weight, where the weight is located is of similar importance (the balance point). For touch-shots where control is more important than power you need the balance pint to fall under your hand naturally when using short strokes.
So, you don't just look for a cue with the right weight (which you MUST determine for yourself) but also the cue must feel right in your hands. Some like more weight on the nose, some light more weight in the butt, some like the moment of inertia close to the cener, some like the moment of inertial slightly away from the center. All these things plus the stiffness of the shaft, the kind of tip, the hardness of the tip and even the kind of ferrule make subtle changes in the feel of the stick.
Most of the higher dollar cues are adjustible, generally with an allen wrench setup. So you can buy a heavier cue, and remove some of the weight and experiment until the cue feels the way you want it to feel (or as close as you can get).
Over in :
I show how different aspects of different cues tend to fall out. (For your amusement)