A nuclear device was the first thing I thought of as well, but I'd expect obtaining the parts to be prohibitively difficult for any plausible contacts. Stealing a finished warhead would probably be easier. But it's not that much easier, and either way I can't think of any plausible motive: the wizarding world and the Muggle world are so intertwined that MAD is quite problematic. Nor are there many plausible targets; the wizarding population is so spread out that a single warhead couldn't do much that couldn't be done far more easily, less disruptively, and with less collateral damage using a truck full of ANFO or something. Azkaban may be one; I can't think of any others.

On the other hand, Muggle weapons or controlled substances of some kind (perhaps dangerous chemicals?) seem quite likely. Britain's a wealthy first-world country with plenty of international trade going on; if you've got enough money on hand, about the only reason you'd need to leave the country to get something is if it's not legally for sale.