I'm sure there are investments that have paid off at a higher rate of return, but there are other advantages to consider.
The rifles, shotguns and handguns in my safe were bought because I wanted them. A lot of them were used, some are quite old, but even so I intended to use them. I have gotten a great deal of pleasure from shooting them, hunting with them and carrying them. That's worth something to me. A stock or a bond is just something on a piece of paper that you get reports on. Sure, it may go way up in value and make you rich, but that's the only pleasure it will give. It's value can also plummet.
In this uncertain economy a lot of people have lost almost everything in regards to their investments. If the economy tanks even further, firearms might come in pretty handy, not just for their monetary value but for their usefulness. After the terrorist attacks of 9/11 the stock market took a dive, but a whole lot of people bought guns for the first time. In a catastrophic environment guns are highly sought after.
A poster mentioned new guns being a bad investment. I have a few I bought new that did pretty good. I bought the first new S&W M696 and M296 in their first months of availability in my city. Paid about $400 apiece for them. Could I have made more money on another investment? Maybe. But they have given me a great deal of enjoyment, and the M696 was there on one of those "Dark Nights" that everybody who carries a gun hopes never happens. I didn't fire a shot, but it sent out a clear message that I don't think a 401K could have communicated.
There may be better investments, but I think for me there are none that are safer.