It looks like Marvel is leading up to making Bucky the new Captain America. He's Captain America's sidekick from the time when our grandfathers were little boys and read Captain America in their childhood. In one issue, Iron Man finds a posthumous letter from Captain America stating that if he died, that America needed a replacement for him. Also, a few weeks ago, he was arrested and is now being sent to Iron Man. He is now part Cyborg and not afraid to use guns. So if he did replace Captain America, it would explain the gun. Anyway, this is just conjecture at this point. I have no idea whether or not this is true.
Here's the wiki:
Bucky - Wikipedia, the free encyclopedia