I am going to generally disagree with many of the things I have seen posted here, but with a disclaimer.
My experience is based solely on what happens after arrival to the hospital, and not in the field. If someone gets shot in the heart and dies in the field, I never see them, so realize my experience is based solely on people who live long enough to make it to the hospital.
Generally though, most people who are stabbed and make it alive to the hospital will survive. I have only seen a few who died over the course of the last 12 yrs working in several hospitals, one of which was a major trauma center. Knife wounds are generally easier to repair than GSW's. A bullet in the belly is more likely to injure multiple organs.
Knife wounds are frequently more dramatic to look at. They look like they would hurt a lot. There is usually more external blood loss than from a GSW, but there is more internal blood loss from a GSW. A boy scout can usually stop external blood loss with direct pressure. Internal blood loss can't be stopped unless someone like me stops it.
Preacherman's statement:
A bullet wound (assuming a non-CNS hit, of course) will bleed less, hurt less, and often be rather easier to repair if no vital organs are hit.
This is generally true, but there is a big IF in it. Stab wounds to the neck, chest, and abdomen are less likely to actually enter the vital areas where organs and big blood vessels are. As an example of this, consider the fact that pretty much any GSW to the abdomen is going to necessitate exploration of the abdomen to see what was hit. For knife wounds, thats not the case, and exploration is much more selective.
Anyway, thats my experience, and I think most surgeons would agree, but remember, this experience is based on a select population of patients who make it to a hospital alive, and is not based on any kind of "street" results.