I saw my brother-in-law before he died but right after he committed suicide by putting a bullet through his temple. He lived for about an hour, and even though his eyes were open and his body was moving somewhat, the look in his eyes made me know he was already gone. With immediate shock/brain damage, even if they don’t die right away, I don’t think they typically know what’s going on and suffer as much as we might worry.
Nope, from personal experience, we know we're dying, but depending on the bullet and the speed, we're only awake for a few seconds then pass out.