Although is it easier than to illegaly carry a gun around?
Making explosives from a few household chemicals in the proper proportions requires knowing something about chemistry. (Or at least knowing a receipe for explosives).
Legally acquiring a gun might normally be difficult for someone, but if the plot hands you one, anyone could carry one around illegaly, and probably without being noticed (assuming it's a small handgun).
However, you've all missed one other important reason for non-firearm weapons:
Also, I think knives are a good idea. Big, -off shiny ones. Ones that look like they could skin a crocodile. Knives are good because they don't make any noise, and the less noise they make, the more likely we are to use them. - 'em right up. Makes it look like we're serious. Guns for show, knives for a pro.