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In media in general, and media with children in the demographic in particular, nothing is more dangerous or deadly than an old-fashioned gun. Guns have Instant Death Bullets, and those are the only things likely to cause instant death.
Knives, swords, arrows, etc., can hit square-on but leave flesh wounds that cause little more trouble than paper cuts. Blunt weapons may just bruise, if that, even when they hit. Lasers are often Family-Friendly Firearms that just stun, or leave burns with little more effect than a burn from a hot stove. Bombs sometimes leave just a soot layer on their targets; more realistic works will let a character Outrun the Fireball. If a building falls on top of a character, he may crawl out of the rubble with nothing more than a layer of gray dust -- yes, even in works that are superficially realistic. Tornadoes will just fling a character aside even if he does touch the funnel cloud, and Convection, Schmonvection gives enough protection from fire that almost anyone can escape it. Poisonous gas has antidotes, and the worst effects can be escaped if you hold your breath as soon as you know it's there. Even the radiation from a nuclear bomb, the other scariest weapon a character is likely to run into, sometimes causes beneficial mutations; even when it doesn't, it often leaves few side effects between the radiation poisoning and death.
But old-fashioned guns? If a bullet hits, even the overly minor flesh wounds are gonna hurt like mad. No one just shrugs off bullets. And if a bullet hits in a place that looks deadly, then it will kill, painfully. There may be time for a Final Speech, but usually not for an ambulance.
It is also easier to protect yourself from other weapons than from bullets. If armor blocks a physical blow, melee weapon, or arrow, there often will be no damage; in the case of the melee weapons, the character protected may be impacted so little that it violates Newton's Third Law. Gas masks let in all the oxygen and none of the gas. Bomb shelters protect against bombs so well that they never even lose their shape; tornado shelters never lose more than the entry door when the tornado passes over them. But, even given that Bulletproof Vests are more effective in fiction than in Real Life, if it stops the bullet, then the bullet will still knock the character off his feet or even knock him out.
The characters are aware at some level that guns are the most dangerous weapons they can face. Punch-Punch-Punch Uh-Oh can be played for laughs; but if a character is Immune to Bullets, then only the Weaksauce Weakness will hurt him, and the opposing side will react accordingly. Only the best at their arts can deflect a bullet. And characters only willingly take bullets if they are invulnerable to them, willing to die, or wearing a bulletproof vest.
This trope happens for several reasons. For one thing, guns are extremely common in America, and not infrequently used here/there; even in Real Life, they can be dangerous. For another, it's easier for children to find and inadvertently hurt someone with an unattended gun than most other types of weapon. This trope takes the Real Life danger of guns and pushes it Up to Eleven. Whether this effort to make guns scarier does what the Moral Guardians think it does is dubious, but hey...
Counterintuitively, Bloodless Carnage can make the impression more effective. In old movies, and some newer shows that retain the trope, it often appears that guns fire death itself rather than speedy bits of metal.
- One episode of Pokémon shows Ash and Pikachu frightened of a robber who brandishes a pistol. Pikachu can summon lightning (and ignore all sorts of game rules), Team Rocket is always blasting off after some Pokemon-related explosion hits, but bullets from a gun are apparently worse. (Luckily they had walked onto a movie set and it was a prop gun.)
- Subverted in another episode - Ash is berated by his friends for sending Pikachu after a man with a gun, then another Pokemon takes him out.
- Taken to an almost humorous extreme in Wanted, where Wesley's skill with firearms is treated as an unstoppable trump card. At one point, as the Big Bad urges his minions to "do something" about the oncoming Anti-Hero, Wesley muses to himself "like what? stop a bullet with their faces?" It seems to not occur to the writer that, in fact, many super villains are more than capable of exactly that.
- Going along with the main series' premise (see the example above), firearms are by far the best sort of individual weaponry available during the Poke Wars. Almost nothing faced so far couldn't be killed by well-applied small arms fire.
- This is why William Shakespeare's Romeo + Juliet (with Leonardo DiCaprio) uses Sword brand guns. Characters are able to escape the explosion of a gas station (caused by gunfire), but no one is able to live through the direct hit of a gun.
- Guns are almost always instantly lethal in Film Noir.
- The characters in Bionicle never have realistic guns, but they do carry explosives, rocket launchers, lasers, swords, chainsaws and squid launchers.
- In Super Smash Brothers Brawl, Snake uses explosives instead of his guns for weaponry. In his original canon of Metal Gear, he had a perfectly serviceable tranquilizer gun.
- Takaya's magnum revolver in Persona 3. despite the protagonists being shocked, stabbed, burned, frozen, and pierced, one shot from his gun kills both Shinji and Junpei, only one of whom get better. Granted, it is a high powered magnum, but still.
- Mocked in The Adventures of Dr. McNinja in an April Fools' Day one-shot where his family of ninja (and gunslinging sidekick) are murdered by their only weakness: "Bullets...from a gun."