From my experiance working in ER's over the past 12 years...most of the time GSW to the abdomin appear to be sorta painfun, unless ya get unlucky enough to get hit in the spine. Most GSW victims seem to be in more pain than knife wound victims. Also, the shock from a powerful gun can trash alot of flesh from hydrostatic shock. That just looks painful. Alot of handgun wounds do not have alot of shock damage though, since they are often from small/weak calibers like 25ACP, .380, 9mm or 38 special.
With deep cuts, the nerves are often severed, and if the blade was sharp enough to cut deep, than the pain factor is lower than a cut with a dull knife, though the cut with the dull knife obviously wont be as deep. Cuts with serrated or dull knives are not generally as clean a cut, so they hurt more and take longer to heal and leave a worse scar.
In some ways you are better getting shot, as it generally does a through and through, leaving a small hole to be sewed up, even in the intestines, while a knife will leave big wounds that need to be sewed, meanwhile your blood is flowing out in generously. so you die from blleding out with knife wounds, what a crappy way to go..slowly losing consciusness, than death.
Ran a little long...sorry for the ramblin...