The only serial killer I can think of that used a gun was that Son of Sam guy. Seems that serial killers tend to prefer the manual approach.
Off the top of my head, I can think of the DC sniper, plus some sick bastard in Australia who killed a bunch of hitchhikers in the Outback. He bound and blindfolded some of them then let them run, using them for target practice.
But overall, they don't generally embrace guns.