Maybe I wasn't paying attention, but where did that gun come from that Jesse slid across the floor when Walt handed him the money?
Was it a gun Jesse had already for protection from Walt?
Was it a gun Jesse was contemplating suicide with?
Was it in the bag of money that Walt gave Jesse? Perhaps the murder weapon Walt used on mike to set Jesse up later?
When Jesse saw that it was Walt at his door, he went to grab the gun before opening the door. I think it was more to show that Jesse no longer trusts Walt at all, and he probably feels like Walt will kill whoever he needs to at this point to tie up loose ends. This is a valid fear considering Walt went to the cafe and met Lydia with the intention of murdering her with the Ricin as soon as she gave him the nine names. She even suspected as much, but saved her own life by suggesting they ship internationally.