I agree with Gerard and Gothick. I do believe that LP mentioned in AD that the wound Angelique sustained was only a flesh wound, and that's the reason why she lived. Though, if memory serves, she did seem to die, eyes closing, slumping to the floor and everything. Maybe she just passed out from the pain.
But, as someone else pointed out, bullets during that time, when they hit something, didn't graze past like bullets of today do. They went right through and took some stuff with them. So, to me, the flesh wound thing doesn't really make sense so I'd like to think that she used her own powers to heal herself. Or maybe her powers can command her body to heal itself on it's own, since Angelique would've been unconscious from pain.
And as Lydia said, Barnabas was most likely aiming for something else, I always thought that he was aiming for the heart (didn't someone in the series, like Barnabas, say that's what he was aiming for?). Perhaps the firing of the gun caused Barnabas to jerk back, thus making his bullet stray from its course.