Yeah, I'd shoot him.
First I'd check how many bullets are in the gun (hopefully there's more than one ;p). I'd shoot the guy in the right kneecap, and take in the screams of pain as if they were the songs of the sirens. I'd let him cry for about 10 seconds before I shoot his other kneecap. I would wait until his screams die down before hitting him in the face with the butt of the gun; hard enough to break his nose but not hard enough to knock him unconscious or kill him. About 30 seconds will have passed by then.
Depending on how many bullets I had in the gun, I would use all but one in the next couple of seconds, shooting the guy in his stomach, left hand, and testicles. After a short wait I would press the busines end of the gun onto the man's skin (wherever's convenient) and watch his flesh sear and scald from the heat. At this time I would only have a few seconds left so I would point the gun at his face and stand silently for as long as I dare, letting the man soak in fear (unless he's too busy with his pain). Then I'd shoot him in whichever eye I choose at the time and watch him drop with a smile on my face. Of course this is all assuming at no point does he pass out; that would suck.