Of course, in several of those countries, if you aren't a citizen, you're SOL.  And one of the countries that people often talk about moving to, Switzerland, won't take you at all unless you're either plenty wealthy or have a critically needed, high-end skill.  Even then, you won't be a native, and you'll be treated like a tourist.

The USA is easily the country with the most gun freedom of all first- and second-world countries.  Third-world countries may make it easy to get guns, but it's even easier to be killed, either via crime, the government, or by nature.

-Troy