Check out the firearms megathread. It has various good information about the different effective --and ineffective!-- points of aim.
As for goryness, as has been stated, that depends on how large caliber the gun is. The larger the caliber, the more gore --correlationally, the larger the caliber, the more forgiving it is of bad aim. A big gun gives you a better chance of success if you're uncertain of your aim, but at the expense of more mess. If you're confident of your aim, you can use a smaller caliber and make less mess.
A friend of mine CTB with a 9mm Makarov, which is smaller caliber than the typical 9mm Parabellum (what is commonly refered to when people say, "use a 9mm"). There was very little gore, relatively speaking, and as they were removing his body from his truck, the bullet actually fell out of the wound and landed on the truck seat. But he was a very experienced shooter (gun collector, in fact) and his aim was excellent.
Myself, I am torn between using my .32, which is a small caliber, and my .45, which is quite a large caliber. I know my aim is good enough for the smaller gun, and I'd rather less visual trauma for those who find my body and for my family who may want to see my corpse, but... I'm still worried about becoming a vegetable, and the much gory-er .45 would definitely remove that possibility.