None of the basic materials are a problem...nor do they require any special or legal hoops, to order, buy or have.
Anymore than the basic materials would be a problem with say, an interest to make Nitroglycerine.
Anyone with a basic working knowledge of simple Chemistry procedures, can do it, out of mundane-enough basic ingredients.
The problem, is the inherant sensitivity/instability of the final compound a Primer uses, and, the delicacies and fine points of safely handling when being made, or handling it once made, and prior to completing the Primers proper...and even then, after, as the 'Bucket' story suggests...hings can still be 'iffy'.
The old 'Fulminating Mercury' Primers, (
http://en.wikipedia.org/wiki/Mercury_fulminate ) would be pretty easy to make...but, one little mis-hap with a Batch of Material, or with incidental dried residu or slop, and you couldbe hur or killed or embarassed as Fire Trucks and Bomb Squads Paramemdics and lots of Police come pulling up to the curb...
Techical and Trade Formularies used to have How-To info on making these things...
For that matter, Chlorates used to be freely available to anyone in regular Drug Stores only a few generations ago...
I've seen big, hardbound, 1880s Technical Formularies...one I recall was published by Scientific American...which had all sorts of recipes for these sorts of things.