I'd assume that bullets can travel a helluva lot faster than magic explosion stuff, and at a much quicker rate to.
A standard SWAT team would probably have been able to do the job more efficiently than Harry and his friends
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#Offtopic
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1) Due to the fact that voldemort liked killing muggles just for shits. He probably has taken measures to protect himself from guns and other such muggle technology. 2) Voldemort probably knew what guns were considering how intelligent he was, if he saw you with one he would just put up a shield. 3) If you somehow did manage to shoot him he would be able to heal himself almost instantly.