Some great movie gunfights mentioned here. I'd too draw people's attention to The Veteran, which is an often overlooked film with some great action.
While not really gunfights in the traditional hollywood sense, I always liked the exchanges of fire in the excellent 'Narc': they're loud, scary and over very, very quicky. Busta Rhymes opening up with his SMG made me jump out of my seat the first time I saw it.
http://www.youtube.com/watch?v=vmnZ_-Mqb-c
No Country For Old Men has a similar, no frills feel with it's gunfights and should get a mention I reckon.