If you go to see the show...
don't put your hands over your ears when they tell you, just listen to the report. Also, don't watch the catcher, watch the recoil of the pistol. Does the saying "Pop, no kick!" come to mind.
I won't go any further than that, I am a Merlin member of IBM, International Brotherhood of Magicians, and of the magic part, have said enough. The evening Justin spoke of above, the audience was loaded (no pun intended) with gun people, as Shot was in full swing. My son got on stage for a different illusion, I still have the props P&T used.
My wife once asked me how a particular illusion we had just watched on TV, was done. I said I can show you the apparatus in one of my books. She wanted to know, so the curtain was raised and she was so disappointed she said "Never tell me any of that again, it's takes away the magic".
I used to do a version of Harry Anderson's (the judge on Night Court) needle through the arm at the local Halloween party. It's great geek magic for that type of affair. Well, one time when the party was closing down at mid-night there was this middle aged lady who pulled me aside and was very concerned about what I had done. She was a doctor and thought she had just seen a medical miracle, and wanted me to show her again so she could understand the underlying physiology (bleeding control, instant wound healing,...). She was heartbroken when I told her "Lady, it's a trick!".
Just enjoy the moment, it's fun to know how it's done, it's Magic to wonder.
gunsnsprinkles - I am so glad you have a solid insight as to what went down and how. An old friend first told me it's not what you know, it's what you know for sure that ain't so that's the problem. YMMV