I have a love/hate relationship with Borderlands. How much fun it is, is directly related to which random weapons you get. If you end up with shit weapons or ones unsuitable to your particular character/build, long periods of the game can be boring and frustrating.
I think the trick is to not be shy when it comes to using golden keys at the chest in Sanctuary, Gearbox themselves have said on many occasions that the keys are supposed to be used relatively freely, as a useful mechanism to fall back on if you get a bad run on loot drops.
I've generally been using a key or two per level as me and Mrs Hearthly have been levelling up, but if I've got a gap in my arsenal I've been lobbing a few more at it until I get something close to what I'm after.
All that said, it can be a bit frustrating if you really just can't seem to fill a gap on a bad run with loot drops, but the loot distribution in BL2 is so ridiculously generous that in my experience it's rarely a problem. (Although I didn't really get massively far through my UVHM playthrough, but for normal and TVHM back in the day, and now again with my solo levelling and co-op with Mrs Hearthly, there haven't really been any humps in the road.)