I've been shot twice in my dreams. Once in the gut, and once in the head.
In the gut-shot dream, I was standing outside of a theater or similar venue, and was shot from about ten feet. I felt the slug hit my abdomen, but there was no pain. I looked down at my stomach, and the view suddenly went third-person, and I saw myself collapsing onto the ground.
The other dream involved sitting in the driver's seat of my car (with my windows rolled down, for some stupid reason), and someone very rapidly walked from the hood direction of the car and shot me once in the head with a small-caliber firearm. It was quite vivid: my head fell a bit, I could tell that all of the sudden, something was very wrong, and I felt myself fading out. I remember saying to myself, "Oh, heck no," (or a variation thereof) and willing myself to pull through. I woke up right then.
Then, of course, I've had the dreams where I was firing an AK-47 (complete with green tracers) and the bullets arced and dropped about 20 feet away, at a very inopportune time, tactically speaking.
The ineffectiveness of firearms (and all weapons) in dreams is an interesting theme, likely rooted in human nature. It is a topic that seems to be very worthwhile to contemplate.
-Sans Authoritas