If you really, really wanted it to look like a gory flesh wound, you could even do it with two parented sprites- one for the red splatter where ther bullet hit, and then a normal map layer over that to make it look all rough and 3D-looking.
The problem with this type of effect, other than the fact that you'll have to code it yourself, is that it doesn't always look realistic.
The problem with this type of effect, other than the fact that you'll have to code it yourself, is that it doesn't always look realistic.