In all of the dreams involving guns which I remember vividly, I've always talked my way out of the dangerous situations. I'd still be slightly frightened upon awakening, but I've never woken up crying hysterically.
I have been shot, however, in those dreams when you've just entered REM sleep (which a lot of people have). It's the one where you're falling or about to get hurt, and upon impact of ground/bullet/etc, you're jump started awake. I've had many of those, most involving the falling to the ground, though some of being shot.