Everyone at one point or another likes to talk about what they'd get if they were to win the lottery or otherwise fall into vast sums of cash.
I'm a simple man, with simple needs. As with most weapon enthusiasts, I have a list of things I'd like to own several pages long. And yet, I'd be hard pressed to spend more than 15k on it (full auto, while fun, doesn't really do it for me, and the most expensive guns I'd ponder are things like a .50 BMG and an Arctic Warfare).
What I would do? Aside from the obvious, of setting aside a lot into investments and such that'd continue to pay out for forever, would be research and philanthropy.
An ongoing project of mine is the development of fantastically cheap, easily produced, reliable firearms. The biggest, cheapest, simplest one is a high quality guerrilla shotgun. Another is a stamped steel .380 or 9x18 Makarov pocket pistol (possibly available in single use blisterpack guns, per Tam's common request. I've got it all worked out, right down to the gun disabling itself so it can't be reloaded after it runs empty, which is necessary to use REALLY cheap material that'll only let the gun last safely for slightly more shots than it's designed for). Blisterpack guns would only really work without background checks (and the expense attached to them) or systems where a Permit of Good Standing (carry permit, etc) allows you to bypass said checks.
Plenty of people have articulated a belief that pretty much anyone who desires to carry a firearm for self defense and is mentally fit to do so (Note: this is not a reference to bullshit mental health requirements, and instead a reference to the fact that some people somehow manage to lack the rationality and impulse control needed to interact safely with anything sharper or more dangerous than a beachball). There are a few groups I've seen that provide guns (shotguns generally) to those faced with financial hardships in bad neighborhoods. I'd pretty much set up another such one, but specifically for the purposes of concealed carry training, certification (as needed) and firearms. Wisconsin Carry provides free CCW classes, aiding with the paperwork needed for the actual permit. That said, there's still a moderately large fee for someone living paycheck to paycheck, to say nothing of the price of even a cheap pistol.
Other projects include developing a motorcycle that combines bike levels of fun with rollcage levels of safety, a needlessly complex but awesome rotating shelving unit kinda thing (Picture the one Wall-E has in his little base thing) that'd allow usable storage space to be more effectively utilized (including having the system extend down into the cooler basement, for an easily accessed but extensively sized pantry or whatever), and a compact hybrid airship because airships. I think I can pull these off without winning the lottery (aircraft are spendy, but I live cheaply), but it'll take a whole lot longer to do.