I could personally never do it, either. But the horses I've seen put to sleep were so bad that I'm thinking nothing could be much worse. POW, it's all over. I had an old sick cow put to sleep once and the vet couldn't get the jugular so he had to do a cut down. A bullet in the brain would have been a million times easier.
On a cow that is not handleable... maybe. But any horse that will stand for a shot, they'll stand for the shot.