They either buy it seperately or from a Lego set.
The most expensive Lego set ever was the Lego set number 10179 ultimate collectors Millennium Falcon which originally sold for $500 on Lego.com.
Most of the LEGO Star Wars sets.
i think its the lego batman from the lego set 7783
A Machine
The most expensive Lego kit/model is $500 Australian dollars.
5421
the first set, they never make that set
LEGO Batman Set #7782 The Batwing: The Joker's Aerial Assault comes with two LEGO guns, a black Semiautomatic Pistol and a black Submachine Gun with Drum Magazine and No Stock. A conplete inventory of the parts in this set can be viewed here: http://www.peeron.com/inv/sets/7782-1
Only Space Rangers have guns.
LEGO and brickarms are not connected, but brickarms makes their own LEGO guns that are compatible with LEGO especially the minifigures.
If you go to www.brickarms.com they have increbidle Lego guns!(do not be discouraged by the prices($2-25 cents), they are AWSOME!!! Another website is www.brickforge.com, which makes guns as well as other minifig acessories.