That was actually kind of explained in the first movie, but their rationale gradually disintegrated as they went on and the special effects got better.
Apparently the time machine operates in such a way that only organics can be sent back. I believe in T1 Sarah Connor asks something like, "Why didn't you just bring a laser cannon to kill the Terminator?" and Kyle Reese responds with something along the lines of, "Only organic matter can be transported. That's why the Terminator needs to have a flesh exterior."
In the next one, however, they don't seem to have any problems sending the T-1000 back, but that came with its own set of constraints that the metal couldn't form any chemicals or moving parts - only blunt or stabbing weapons. However, T3 had no problems giving the Terminatrix a plasma cannon and flamethrower, and it actually retconned the T-800 to be powered by what are essentially hydrogen bombs*, bringing us back to the original question of "Why didn't they just blow everyone up?".
Really the answer is to just shut up and have fun.
* They call them "hydrogen fuel cells", but the way they're portrayed on screen suggests a fusion reaction is involved somehow. This is from the same writers who brought you remote controlled police cars with actuators installed under every foot pedal, though, so go figure.