As people have mentioned; - No one can tell us how painful it is. - It's not as guaranteed as people say. - Guns have a chance to misfire or malfunction.
Again, it can't be more painful than electrocution if done right and is certainly quicker. Despite no testimony from dead people, I don't really think there can be much dispute that having your brain destroyed is relatively merciful. Malfunctioning is something that can happen with any method so I don't really see it as a factor.
I was actually comparing it to the toxic cocktail method.
But then don't your first and third points also fall under the cocktail? ---