Is it "Sticks & Stones" from 1996? http://www.imdb.com/title/tt0117742/
Here's the trailer. It seems to support the bully, baseball, and gun aspect of your description: http://www.youtube.com/watch?v=yVyO15J3sQo
Here's a synopsis:
In this youthful drama, three 13 year olds come of age when they learn to stand up to a vicious local bully. Joey, Book and Mouth live for baseball. Joey is a superb pitcher and Book an excellent catcher while Mouth dreams of becoming Joey's agent. All three boys have less than perfect home lives, with their chief problem being that their parents are too often gone. Still, they have a good summer until Hayes, a nearly psycho bully begins tormenting them in increasingly violent ways.