There are many different sonic distace sensors, some super cheap ones for $2 like the HC-SR04(still great) and some big bad ones like this Ultrasonic Range Finder - XL-MaxSonar-WR1 - SEN-09496 - SparkFun Electronics.
Using an array of sonic sensors, pointing in all directions, it could possible to identify the direction of a noise, especially one as loud as a gun.