Stocks: Corporate governance is a concern with index funds. You're not the owner of the companies' shares, the fund is, but they have little/no direct financial interest in taking the time to vote responsibly for matters put before shareholders. In recent years some index funds have even started pushing managements to make various "woke" changes even if those changes ultimately cost shareholders.
I still tell folks to invest in index funds because for 99.99% of people it is the best way to invest in stocks (and it requires no real thought). But I am concerned what may happen down the road if too many people follow that advice...
Bonds: I generally think of bonds as an investment people make once they already have enough money and just want to keep what they have. There have been short periods of crisis in which bonds have outperformed stocks, but over any long term (10-20 year time period) stocks have had far superior returns.
So aside from special situations (like being able to buy a distressed company's bonds for $0.30 on the dollar), I have no plans to invest in bonds until I'm 5 years away from total retirement at which point I'd only invest what I anticipate needing ~5 years at a time.
Real Estate: I've invested less cash into real estate than any other investment, yet my real estate holdings are worth 3x everything else. The difference is I buy stocks with 100% of my money, yet bought real estate with only 3.5-20% of my money. Leverage makes for outsized returns, but it also adds risk - I don't have to keep paying anything to hold on to my stocks, but I have to keep paying mortgages (& tax/insurance) even when I'm out of work or my tenants aren't paying.
To lower that risk, I try very hard to ensure my real estate pays for itself - that it cash flows. So rather than buying a nice house for myself and hoping it'll be worth more in 20 years, I tend to buy low end rentals whose current rent should pay the purchase price of the property in 10 years or so (preferably less). I still have maintenance, taxes, & insurance so it probably won't really pay for itself for 15-30 years, but that number plummets when we have inflation (I can raise rent but my mortgage stays the same).
My word of caution for folks like @TGS who are betting on continued price appreciation is to be aware that many localities - even some bustling metropolises - lose value. If you bought property in Detroit or Pittsburgh in 1950, you had every reason to believe it would appreciate. This Seattle billboard said it all after the "Boeing Bust" in 1971
Seattle eventually rebounded thanks to Microsoft and then Amazon. Detroit & Pittsburgh still haven't. That doesn't mean you should throw away money on rent if purchasing a house will cost you less. I just would be very leary about assuming a specific house will be worth more in the future (especially inflation adjusted).
PS: I'm currently building an ADU to turn my current money-losing personal residence into a money neutral duplex. Why pay the mortgage when you can so readily find tenants to do that for you?
Gold/Crypto/ammo/non productive assets: I consider these speculation, not investments. Maybe they go up, maybe they go down, maybe they just cost you a little each month to hold/protect. But the underlying investment itself doesn't create anything unlike stock in a company, interest on a bond, or rent from real estate.