Many people are surprised to discover that as an American you can buy or build almost any weapon system (if you can afford this expensive hobby) as long as you meet basic safety, local legal, and export restriction requirements. For some types of dangerous weapons you may need to file paperwork, but it is more disclosure than permission.
You can do that with low explosives, you just need a separate, unattached shed, the right license and submit to letting the BATF show up at any time with access to it.
Quite a few of our motor suppliers for the bigger stuff(K/L/M/N) did this, although this was about 5-10 years ago so the laws may have changed since then.
There's basically no high explosives(explodes in open air) used in model rocketry, everything is low explosive(accelerates under pressure), ditto gun reloading and other things that go bang.
Citation needed.
At very least in CA, NY, NJ civilian absolutely can not buy/build/posses suppressors for guns, short barrel rifles (SBR), select-fire guns, grenade launchers or any live high explosive devices.
In some states you can build a pipe bomb [2] or buy a grenade having per unit permission from NFA [1]
[1] - https://reddit.com/r/nfa
[2] - https://www.reddit.com/r/NFA/comments/5ffugm/nfa_registered_...
I had a couple friends many years ago who, mostly for fun I suspect because they never did anything with it, filled out the relatively simple Federal paperwork that gave them carte blanche to import/manufacture/buy just about any conventional weapon you can think of and they lived in a State with no restrictions. But almost no one does in practice because once you go beyond what is possible to fabricate in a sophisticated machine shop, it would become an extremely expensive hobby for no obvious purpose. Few people can afford to drop millions of dollars on guided missiles.
Over the years in our club we had a lot of land sharks(pop off the rod and delayed ignition), failure to eject, cato(engine explosion) and various RUDs(rapid unscheduled disassembly). Plenty of cars hit with only minor damage and never any serious injuries.