Disclaimer: I don't own the Mentalist.
Bullet wounds are excruciatingly painful.
Come on, think about it. A piece of harder-than-rock lead comes splaying out of a metal barrel at over eight-hundred feet-per-second, propelled by a small explosion. It then quite literally rips through anything in its way, be it mattresses, walls, or human flesh. (Your human flesh) And then, when it hits said solid object, it can shatter on impact. So your quite solid hunk of lead is now zillions of tiny pieces of shrapnel, embedded into your very being.
Now, let's say your bullet decided to keep itself together. You've still got this chunk of lead stuck somewhere in your innards, now, what if did some damage, say, nicked an artery? If you can't get medical attention soon, you're dead, sorry sucker. But we'll back up. The bullet has a plethora of other soft tissue to damage. It can hit your stomach (another rather painful way to die, and not nearly as quick) or your intestines, or your lungs (deflated like a balloon) or your heart. While surviving a bullet to the heart is unlikely, it is not impossible. Your survival rate goes up. Congratulations.
But, you also still have these wretchedly inconvenient limps flopping around, and maybe you throw up your arms in front of your face, or maybe to protect a loved one, or perhaps your shooter has perpetually bad aim and you get caught in the leg, or you shoot yourself in the foot, for whatever reason. There are a lot of veins and such, floating in your troublesome limbs, and they can get severed, or the bullet could get stuck or much more awful things.
Oh, yes, and what if you turn around to run and get shot in the back? What damage would you sustain then? Well, you could do much damage to your spinal cord, that's for sure. You could lose total control of your legs and become paralyzed, never to walk again, or all sorts of nasties that come with spine injuries.
Or, you know, the bullet can go "through and through", with out any shrapnel, without getting stuck. It's actually a positive term, I assure you. Unless the bullet has gone "through and through" your aorta, I'm sure you'll be just fine.
The sort of gun and bullet also depends strongly on damaged sustained. Service pistols and hand guns certainly do the trick. Now, I'm just a consultant, and I hate guns, but I know that if you're confronted by an automatic, I would tell you to just surrender. Did you know they can cut down trees with sound automatics? Crazy, really, but true. There are also shotguns, and some can have a bullet-and-casing that's over six inches long. There's also birdshot, which, to my understanding, is several ball bearings being shot at once, used for hunting.
Damaged sustained also matters on distance, and such, and if your gun is loaded improperly. Being shot at point blank is with a very minimal distance between shooter and victim, and most damaged can be sustained here. The farther away one gets, the more their aim fails and the bullet slows down, having less of an impact, becoming less deadly. That is, unless, of course, your shooter is a sniper, wielding a gun that specializes in long distance shots. In that case, I bid you my luck.
There are some ways to protect your self, of course. Panes of bulletproof plastic work, as do specialty shields and helmets. Try not to get shot at in a metal box or room, ricochet is quite dangerous. Car doors won't do you any more, and steel sheets are few and far behind. If you have a Kevlar vest, however, you should be okay.
Oh, but me, well, I'm not okay.
A/N I'll update in the morning, enjoy, feedback is appreciated.