Simply put, there are clearly some things(nukes & other true WMDs(what constitutes this is debatable)) that shouldn't be in the hands of the public. However most things that people perceive to be too dangerous would either be too costly to pose a real threat or similar levels of harm could be caused by alternate but readily available means.
"Too expensive to be a threat" is a really bad argument. Suppose the government says it is ok to have them and then the military sells their old ones at auction for a fraction of the cost like they do with everything else?
Anyone could then drive a couple of trucks outside of Washington DC, launch a volley of missiles and kills tens of thousands of people and cause tens of billions in damage.
The "too expensive" argument also fails when you start encountering all the rich homicidal crazies too.