It doesn't seem too plausible to me that they'd have the capability to build a bomb, certainly not from scratch. It just takes too much infrastructure, which would be available only to nation-states and the very largest multinational corporations. Bin Laden may be wealthy but even he doesn't have enough money especially since a lot of it is being used for other purposes.
Buying a bomb is a different matter - that just takes some money. The main problem there is that as has been noted before, these things have operational problems - requiring regular maintenance, having a risk of discovery since they're either radioactive or very heavy (for the shielding), etc.
Biological and chemical weapons are much less technically advanced. A bright high school kid could put one together, even if it wasn't as advanced as what a professional could do.