It's not defined by the Constitution, probably intentionally.
I would suggest that the term applies to anything that is capable and suitable for the job of self defense. That, of course, can change with the time. When criminals are armed with only swords, then guns can be considered outside the realm of 2nd Amendment "arms" for the purpose of self defense. But when criminals are commonly armed with firearms, then swords are no longer really capable of providing for your self-defense, so therefore firearms are within the 2nd Amendment scope of "arms".
Grenades, on the other hand, being more destructive and not necessarily more effective than firearms for the purpose of self defense, I would consider them outside the scope of 2nd Amendment "arms" protection. I'd even suggest that automatic firearms are not any more generally effective than semi-automatic firearms for the purpose of self defense, and so should be outside the scope of 2nd Amendment protection.
For tanks, nuclear weapons, etc., see grenades above.