A news account about police moving demonstrators from Occupy Wall Street said the "...police armed with bullhorns..." moved in.

Can you really "arm" yourself with a bullhorn, or must you have something more potent in hand?

That depends on how they are used. Whack someone with one and it's a weapon; yell at someone at close range at over about 90 decibels and it's a weapon, since it can do harm to one's ears. Merely using it as a public address device doesn't qualify.

99%er Geoff

I'd say you can have a metaphorical use of it in the sense of being prepared for something.

"He went off to his exam armed with pencil and paper (and the answers written on his hand), but still managed to fail."

"Armed with nothing but his wits he set about solving the puzzle."

However in a situation where actual arms might be considered (by some) to be an option, it's probably better to choose a different word. And I think that's the case in the article that you quoted.

I am going to "arm" myself with lots of goodies before getting on the flight.

I think you can use "arm" that way, Proof. Though, maybe I have been using it wrong.

The second definition for the transitive verb arm in the AHD (link) covers the extended use: "To equip with what is needed for effective action: tax advisers who were armed with the latest forms."