There are lots of variables here. Gun type, wall thickness, type of shielding used.
According to this email exchange, handgun bullets can penetrate 1-3 cm of aluminium. It also states that:
(in) a M113A2 APC (armored personnel carrier) the aluminum (hull) is about 3/4 inches
The first data I've found for the wall thickness of a space station module is for ESA's proposed Columbus module: they used a Whipple shield with two walls of 2 mm and 3 mm thick. At first glance, not enough to stop a bullet. And the bullet will probably be going too slow to disintegrate on impact (as a micrometeoroid would).
As far as I know, in a Whipple shield, only the inner wall is airtight, so if you shoot from the inside, you're going to have a leak. At ~1 cm diameter, it's not big enough to cause immediate catastrophic decompression, but it'd be time for emergency procedures.
Worst case is that your bullet trajectory goes through a fuel (or oxidizer) tank. This will most likely result in contamination and exposure to highly toxic substances.