I seem to recall reading that no advanced weaponry could be bought here from the future because it wasn't organic, yet Arnie came back fine, advanced weaponry wrapped in organic skin.
Why didn't they simply insert some super-duper weapon under the skin, much like the T-800 chassis?
In-Universe, this is covered by the accepted answer to the related question Wikis linked to.
Blatant copying of the quote:
SILBERMAN: "Why didn't you bring any weapons? Something more advanced. Don't you have ray guns? Show me a piece of future technology"
REESE: "You go naked. Something about the field generated by a living organism. Nothing dead will go."
SILBERMAN: "Okay. Okay. But this... cyborg...if it's metal..."
REESE: "Surrounded by living tissue."
SILBERMAN: "Of course."
This you already knew, given you asked why they couldn't carry something under their skin.
There's no given 'canon' answer, but I do have some theories. We see that the skin of the T-800 can be injured. As we learn in T2, it will heal, given time.
The T-800 chassis (seen above) does not have a significant amount of places where it could store a weapon - the only place with enough room would be in the abdominal area.
The T-800 does not need abdominal muscles to remain standing, obviously, nor would he have been functionally inconvenienced by the opening of this region to retrieve weaponry.
That said, it would have taken a long time for such a wound to heal, and that is an awkward location for the T-800 to treat itself. The T-800 would have required assistance to treat the wound it caused, putting it at great risk of discovery.
The alternative would be to walk around with (what appears to be) a massive stomach wound. This would not have been easily discernible under clothing - assuming clothes could be acquired, but could not have escaped close scrutiny.
So while it would certainly be possible for the T-800 to bring back, say, a small plasma rifle, it would make the task at hand (finding and killing an unsuspecting civilian while remaining undetected) at least slightly harder.
At the time when the T-800 was sent back, it was not aware that the Resistance would be sending back a fighter to protect Sarah - it thought it would face only uninformed humans. Had they not sent back Reese, the mission would have succeeded within the first 12 hours.
Skynet was aware of the ease with which a T-800 could acquire firearms, though maybe not the exact availability of weapons, and judged that the slight inconvenience of having to acquire weaponry after transport was a smaller problem than walking around with a futuristic weapon and a gaping hole in the stomach.
And really, how much deader would Sarah Conner have been if she'd been hit by a plasma rifle than shot in the face by a 9mm?
In the novelization of Terminator 2 there is a whole chapter on how Connor and the Resistance beat Skynet and commandeered the time displacement equipment to send back the 2 protectors.
The feeling I got from the narrative is that Skynet had sent the two Terminators (T-800 & T-1000) only moments before. The time travel plan was Skynet's last hope; it poured the last of its resources into the time machine and staying alive long enough to use it. When Connor finds the "press" where the T-1000 was made, it was still cooling down from being used. This shows that Skynet had only just prepped the T-1000 for time travel moments before the supercomputer was killed.
If Skynet had enough time, there is no doubt it would have patiently and methodically send back a number of Terminators to alter time as it saw fit. Being that there was no time to do so and the enemy was already annihilating its bases around the world in a methodical strike, Skynet could only act in one way. It pulled an "out-of-the-box" 800 Series Model 101 and sent it to the most desirable date and place it knew of.
Once the first Terminator was through and nothing changed Skynet was forced to prep and send the T-1000 immediately afterwards, but it was too late. Skynet was blown away and now Connor was free to fulfill fate.
From James Cameron's point of view, "the more fantastic the story, the more realistic and visceral the environment needs to be to make it believable." Having the time travelers come thru naked gives it a visceral believability, that something unnatural has been "born" into our world.
PS: A thought: It appears the "time bubble" causes a short duration EMP field. Perhaps the Terminator is kneeling and immobile for a few seconds after transport is because the unit willingly shuts down for the ride through time so as to not be affected by the EMP. If that is the case, what if most plasma weapons on hand (in Skynet's arsenal) have energy sources that if disturbed by EMP would fry the weapon or even worse, explode due to loss of containment. It is possible that certain circuits and coils in plasma weapons, dedicated to creating the magnetic bottle and super heating the gas that turns to plasma could be affected adversely by an EMP of that magnitude; whether they be off or not.
Its possible that it never took anything back so that it would blend in with the population and not stand out. The T800 was primarily designed for infiltration after all.
Doesn't really explain why it asked for a futuristic weapon in the gun shop though.
Only living tissue can be sent back. This raises more questions.
Why didn't Skynet encase these future weapons in some sort of skin bag?
My only guess into the numerous plot holes that riddle the terminator films is that Skynet didn't have enough time to prepare and experiment with Time Travel. It's possible Time Travel also takes a colossal amount of energy, and Skynet could only send 1 Terminator back every decade or so. Maybe the T-800 in the first film was sent back with a plasma rifle, maybe even clothes, but it lost these upon arrival. It observed this and instantly recalculated its course of action.
