I highly recommend reading this post from The Truth About Guns. Excerpt:
There’s a theory going around that people fall to the ground when they’re shot because Hollywood has programmed them to do so. I’m not so sure about that. My research indicates that getting shot hurts like hell. Falling to the ground when you’re hurt is a natural reaction to extreme pain. As is curling up in a little ball and crying like a baby.
If you’re in a gunfight, assuming the fetal position is not really your best option. I would recommend continuing to fight: shoot, move, throw things, attack! I’m not saying it’s easy. I’m not even saying that’s what I would do (and I pray to God I never find out). But it’s important to remember that getting shot isn’t necessarily the end of the world. Don’t go Hollywood, get even!