Originally, there was no bill of rights in the Constitution. The argument of the Federalists (including, at the time, James Madison) was that the Constitution, by its nature, delegated certain powers - and only those powers - to the U.S. government. Thus, freedom of religion (for example) could not be abridged by the U.S. simply because the Constitution gave them no power to do so. However, the Anti-federalists were concerned that certain abuses could occur, and legitimately so (or so it would later be asserted), because of that very silence by the Constitution. So Madison promised to introduce proposed amendments containing a bill of rights, should the Constitution be ratified. It was, and he did. It should be noted, however, that at the time Madison introduced said bill of rights into the 1st Congress, he still did not believe a bill of rights was necessary; rather, he was introducing them because he had promised to do so. He actually said this on the floor of the Congress.
The concerns of the Anti-federalists were not really about a contest between federal and state power, but about encroachment of the federal government onto individuals and their rights. Given the state of communications and transportation technology of the time, Philadelphia and New York were very distant cities for one who lived even in Virginia. (Norfolk is about 276 miles from Philly; about 372 from NYC. There are somewhat distant even today.) To the people of the time, New York was very far away and a Congress there couldn't possibly understand local issues in Norfolk, for example.
Further, until passage of the 14th Amendment, the Bill of Rights was not held to apply to the States, only to federal power. (1st Amendment - "Congress shall make no law . . .") Thus the Bill of Rights is about individual rights, not States' rights. The 10th Amendment is also not about States' rights, but the capstone on the limits of federal power, excluded all powers not delegated. It essentially set down on paper a principle Madison and Alexander Hamilton (the other principle architect of the Constitution's ratification) believed was inherent in the document itself.
Finally, my theory of Rights versus Powers comes into play. States have no rights anyway, any more than the U.S. has. Government, being man's artifice, can have no rights, only such powers as are delegated to it. The 2nd Amendment refers to a right to bear arms; the 10th refers to delegated powers, not rights. This distinction is an important one, recognized by the Constitution itself.
Thus the right to bear arms is an individual right. My former objections are merely my counters (IMHO, effective ones) to the more simplistic argument proposed by most pro-gun people.