There are several Ammunation/Gun shops over San Fierro. In the Ammunations you can buy weapons from Deagles to Snipers with their respective prices. However, purchasing a weapon in the Ammunation will mean that you have bought an ilegal weapon, since the Ammunation only sell ilegal firearms.
There is one big Ammunation that is the one where most of the players go.
Where can I find the Big Ammunation in San Fierro?Edit
The Big Ammunation is in the western part of San Fierro, south of the Hospital.