There's little gameplay or historical value to allowing civilizations to buy, sell, or gift units. The most obvious reason is that such trades almost never happen between great powers. China, Russia, France, UK, and USA, for instance, build all their own military equipment (ships, tanks, guns, planes, etc.). The only instances where military aid makes substantive contribution to the "course of world history" if you will is military aid to client states from great powers.
If you ask me, Civ 5 does a "good enough" job by letting civs gift units to City States (but if you ask me, there should be quite a bit more reward for doing so)
I think there would be a lot of potential gameplay involved here. It could be the great equalizer, being able to equip a smaller nation who is being attacked by a larger one with advanced weaponry. In return they would be friends for life and eternally grateful. And I don't just mean selling/giving units to city states, but to everyone. It would be a really interesting experience if I could be an arms merchant to the world, or if some other AI civ ruined my world domination ambitions by supplying all my targets with advanced weapons. LET THE GAMES BEGIN!!
And you say that this has never happened. How about during WWII when the US did EXACTLY THAT: gave ships, tanks, guns, planes, and supplies to all of the other major powers mentioned above, in which our own president (FDR) called our nation, an "Arsenal of Democracy" - defending the world against the Axis Powers during WWII. Without our Lend Lease Act, I doubt England and Russia could have survived against a mightier Germany, or China against Japan. Other examples are: the Chinese and Soviets supplying both N. Korea and Vietnam during their wars with the US; the Soviets selling to Iraq and Egypt arms in the 70's and 80's; and the US and other countries selling to Israel arms then and today. It's obvious you can buy any weapon on the world market today - EXCEPT nuclear missiles. It's a good way for the smaller or backward nations that don't have the vast infrastructure or the up-to-date research of the major powers to be able to keep up with everybody. Japan's first early battleships originally were built by Britain - who had the most experience in shipbuilding, and probably the best designs available. It helped Japan modernize its shipbuilding industry by seeing how they were built, and it helped Britain keep its shipyards open and operating, and its treasury full. It was a win-win for everyone - well, up until WWII.
I would really like the option of buying/selling/giving units to other civs, with one exception: you can't give units to someone that they haven't researched yet. In other words, you can't give a civ bombers if they haven't researched flight yet. They wouldn't know how to use them. But if you give or sell a civ an advanced unit - more advanced than their enemy, they should be a lot more grateful than if you gave or sold them an older unit. Also, if you give a civ who is at war a lot of units, they should be extremely grateful. Great Britain gave the US a 99-year lease on all of its island bases in exchange for 50 old WWI destroyers that were badly needed to fight the German U-boats during WWII.
EDIT: Ok, Killmeplease makes a valid point below. I guess you can give someone a unit they haven't researched yet, but depending on how advanced it is than the recipient's current level of technology, maybe they can't use the new unit for a few turns until they get trained on it - maybe one turn delay per each tech above their current level. Makes sense to me, now.
But if you give a civ an advanced unit from a tech they haven't discovered yet, that will give them a big boost toward that tech as they will learn how the new unit operates and its advantages over older units. So be careful who you give your advanced units to; like nuclear technology in the real world, you could be letting the genie out of the bottle.