Like I said, just going on the movies alone here.

However, if shields don't stop physical objects as well as magical energies, Voldy would have to know the gun was being aimed at him to do anything to the bullets. And when he is in the middle of duelling another wizard, I really doubt he has the time to do much else. And last I noticed, bullets move much much faster than any of those magical energies the wizards and witches were flinging around, and tons faster than any wizard can flick his wrist and say a magic word. No time to cast a spell on a bullet once it is fired, so he would have to know the gun was there and have the chance to cast a spell on it, all while defending himself from more and more magical attacks.

When fighting a Big Bad like him, there is no room for fighting by the rules or with honor. Use every potential tool, especially those a Dark Lord of Magic would never suspect. Especially in a world where the magic users have handicapped themselves by their disdain and lack of knowledge of the muggle world. The movies made it clear that at least the British PM had some knowledge of there being a magical world and wizards and all that, so why not call in some RAF planes and helicopters to help fight such evil? Every bullet you have to use magic to stop is one more magical spell you are using that is not attacking another child at Hogworts.

And even if Voldemort was immortal, bullets and such would have worked fine against his hordes of death eaters, giants and giant spiders.

And it isn't that I am any sort of gun nut, I personally hate guns.

It's a plot hole the movies left open, but apparently the books don't.

Most definitly an anti-science attitude in fantasy though! Can't argue with THAT point!

As to the whole draw and fire thing, the same problem arises with wizards drawing their wands, aiming them at Voldemort, speaking a multi-syllabic spell and flicking their wrist. I'd have to say that is even slower than drawing a gun aiming and pulling a trigger. A moderately fast draw could put several bullets in a wizard in the time it takes a wizard to "fire" their spell after drawing their wand (assuming the wizard is equally quick drawing his wand as the gunman is his gun, which I doubt).

Sorry, but casting a spell is a hell of a lot slower than pulling a trigger.