No, definitely not, especially by gun. Studies have shown that there is a delay between the brain's perception of the world and reality of about 80 milliseconds.
The average speed of a bullet is 760 meters per second, and assuming your head is 0.33 meters, the bullet travels through your brain in 0.4 milliseconds. It would be impossible for you to perceive any pain whatsoever, assuming you hit the right spot and the bullet kills you immediately.