If my co-worker brought a gun to work and they allowed him to return after a 2 week suspension, what are my options?

Your only real option is to seek other employment, assuming the co-worker is not violating some state gun control law (if he is, you could report him to the police and see if they take action). It is the employer's perogative to decide whether to allow employees to have guns on-site, what to do about employees who bring guns, etc.