From a modeling-only perspective, it really depends on what type of weapon/vehicle you are going to make.
Some weapons may prove to be more difficult than a simple car, or vice versa. Though really, vehicles have more twists and turns than your average weapon.
From a complete add-on perspective, and from my own experience, weapons are much more easy to slap together. Without scripting knowledge, both can be a pain.
From my experience and opinion, vehicles are best done in programs other than Milkshape 3D, mainly because of collision mesh quality (which determines quite a few factors with vehicles).
If, for example, you were making just a simple two-cube weapon and two-cube vehicle, the weapon would take less time to create completely.
Modeling-wise, I personally started out with weapons, going into vehicles later on.