Let your gun therefore be your constant companion of your walks.
— Thomas Jefferson
Passioned Founding Fathers Second Amendment quotations
The powers not delegated to the United States by the Constitution, nor prohibited by it to the States, are reserved to the States respectively, or to the people.

Just as the First and Fourth Amendment secure individual rights of speech and security respectively, the Second Amendment protects an individual right to keep and bear arms. This view of the text comports with the all but unanimous understanding of the Founding Fathers.

The militia, who are in fact the effective part of the people at large, will render many troops quite unecessary. They will form a powerful check upon the regular troops, and will generally be sufficient to over-awe them.
The balance of power is the scale of peace.
For an unarmed man may be attacked with greater confidence than an armed man.

O sir, we should have fine times, indeed, if, to punish tyrants, it were only sufficient to assemble the people! Your arms, wherewith you could defend yourselves, are gone.
I ask you sir, who are the militia? They consist now of the whole people.
The right of the citizens to keep and bear arms has justly been considered as the palladium of the liberties of a republic.

God forbid we should ever be twenty years without such a rebellion.
This [a state militia system] appears to me the only substitute that can be devised for a standing army, and the best possible security against it, if it should exist.
The powers of the sword are in the hands of the yeomanry of America from sixteen to sixty. The militia of these free commonwealths, entitled and accustomed to their arms, when compared with any possible army, must be tremendous and irresistible. Who are the militia? Are they not ourselves? Is it feared, then, that we shall turn our arms each man against his own bosom. Congress has no power to disarm the militia.