While guns are generally ineffective against monsters, demons, and ghosts, they can be loaded with specially modified rounds to harm, repel, or even kill supernatural entities. For example, pistols or rifles loaded with Silver bullets are used to kill Werewolves, Skinwalkers and Shapeshifters. Iron bullets are needed to kill Shtriga and harm fairies. Shotgun shells packed with rock salt can repel ghosts, hellhounds, and demons. A bullet with a Devil's Trap engraved into it can be used to trap a demon in its host.
Conventional ammunition can kill (some types of) Zombies, Amazons, and (obviously) normal humans. A very special gun, The Colt, can kill almost anything in existence.
Demons and Leviathan have also been known to use guns on occasion - sometimes just for amusement. Angels will rarely use firearms unless they are completely powerless. The deity Beau tried to kill Sam with a pistol.