Handguns and rifles, as long as they're simple and relatively quick to produce, would likely be the most practical option anyone would go for first. A basic firearm (or few) to start, heavier stuff ('splodey stuff), and obtaining their materials somehow, would come later.
As for ammo, you can get the casings and bullet shape, but the materials may be a tad tricky; otherwise, you'd might as well find an ammo provider with ready-made bullets. Plus, there'd be less (apparent) risk in getting already made bullets, since it would be a challenge to get the right caliber and properly make them so they work properly, and not wreck the gun, or risk injury or death of the wielder of the weapon, or anyone around them.
EDIT:
Also, if I recall seeing some shows that involve working with guns and such correctly; crafting bullets and munitions themselves is like an art form in itself. I think building a gun is safer than crafting the ammo for them. If sufficiently inexperienced, and lack the right tools to work with, a ruined weekend is not too far away.
EDIT EDIT:
I suppose, the only real safety net we have are the limits of skill and precision (and the right tools and machining) required when it comes to the more dangerous, as well as more profitable, items to be duplicated/pirated via 3D Printer. Not to forget, have fun hiding a mass-production machine (specialized for what you intend to mass produce), no less building one that works (on all different levels) cheaply, and keeping them properly supplied, well-oiled, and did I forget to mention hidden?