For the 2011 Los Angeles Pride, I marched with a pan-Asian delegation, to show my support for LGBT rights in Asian communities of Southern California.
This small delegation is waiting next to me. It is Pink Pistols, a pro-gun LGBT group with conservative political views. It is centered around the Second Amendment to the United States Constitution, which establishes bearing of arms as a basic right of citizens.
Despite popular belief, and despite the intense homophobia of American conservatives, a good chunk of the American LGBT demographic is conservative. Usually they tend to be white, upper income, and male (or formerly male - one of the members of this delegation is a transwoman).
American gay conservatism is justified a number of ways; gun ownership in the interest of self-defense from hate crimes is one justification, and defending "American values and freedom" from immigrant theocracy is another.