Yeah, there's some gray area there and grenades are probably the best example.
Separated from philosophical side of things, they are legal to own Federally at least, at $200 a tax stamp. I don't know anything about the jurisprudence wrt to destructive devices.
edit: Another example might be DU ammunition, but I don't know if that's something carried by your typical soldier. I think it's more often in large caliber crew-served and vehicle mounted weapons, but have no actual basis for that.