Expensive guns that are not mass produced. ANything of recent vintage where numbers are measured in the millions or hundred of thousands may go up a little, but it's a crap shoot. Look at any other collectibles to see the trend, if you bought mass produced items in the 20's they have gone up a little, and some will exhibit extraordinary blips, but the real value is with the things that were expensive in their day.
I'd look at double rifles, factory engraved masterpieces, and other similar items that we (the masses) can't afford. Renaissance grade Browning pistols come to mind, Olympian grade FN produced rifles, high grade engraved shotguns (Bronwing, Beretta, etc.). As much as I may like them, semi-custom and custom pistols and rifles will never be a good investment. The finest custom bolt action rifle from the 60's is, and probably will always be, a worse investment than a very fine production gun (such as the Olympian menioned above).
You can still find Renaissance grade pistols from $2-5K, but probably can't touch an Olympian grade rifle for much under $5-7K, even a Gr. V BAR will set you back $4-5K. But compared to a new production gun that's not a bad price.