If you're talking firearms, then only people who use them work-specifically may have them (police, army etc). It is virtually impossible to get a firearms licence if you do not fit into one of those categories. Firearms, on the other hand, CAN be bought on the sly. It's like anything - people want to be gangsta's (sadly), so there is a market to feed this.

Shotguns, on the other hand, are a different matter. I have a shotgun licence, but I am in a small minority. It is NOT common to have one. Mostly, rural communitites, where there are a high percentage of farmers, have shotguns, but that's it.