Never a good idea to get a piercing done with piercing gun. They are hard to clean between piercings and are rarely sterized the way that they should be. Putting a sterile stud into a contaminated gun obviously contaminates the jewelry with what ever bloodborne pathogens the previous victims had.
Though getting pierced with a disposable needle might appear 'scarier' - tis a lot safer than a gun.
Heres some
more info on it.
There are other reasons why the gun isn't a good method but risk of Hep C would be top of my list.