Can Bullets Actually Kill Thor?
Thor, nobly self-titled (with some dissent) as the "strongest Avenger," is understood even by the most casual observer to be one of the most powerful characters in the Marvel Comics canon as well as in the Marvel Cinematic Universe. That understanding is so ubiquitous that we may perhaps sometimes forget to really think through what that means. Offensively, all his strengths are very apparent: Thor can pick up all manner of massive objects and throw them, fist-fight with the force of an asteroid, and, of course, summon thunder. Any defensive attributes, however, are often more passive, and therefore less deeply considered. We all know DC Comics' Superman is directly described as "bulletproof," but does Thor live up to the same golden standard? Does he, to quote Ben Affleck's gravelly affect, bleed when some poor sod shoots him? Really, can bullets kill Thor?
A body that puts in the work
The first point to consider when discussing whether or not bullets can kill Thor is biology. In general, Asgardians (the humanoid race of which Thor is a part) are described as having much denser muscle tissue than humans, and as such, are much heavier than people. This makes their superhuman strength a semi-realistic facet; rather than having telekinesis or some other reality-bending method permit Asgardians' feats of incredible strength, it's simply their biological make-up.
Being the direct descendant of Odin, Thor is canonically accepted as being a superior specimen of his people, with specialized abilities and enhanced stamina, so one could assume that his muscle tissue is also much denser than that of other Asgardians. Additionally, being heavier would make Thor's body more difficult to penetrate and injure with projectiles — or, at the least, require his opponents to have considerably higher calibre ammunition with more explosive velocity to do any real damage. It's reasonable to accept, then, that there's a big difference between pointing a .22 pistol, .50 cal mounted artillery, or .308 sniper ammunition at Thor when he's presented shirtless for a theoretical attempted murder.
What kills Thor needs to go harder than mere bullets
Beyond any comic-canonical statistics, there's some material evidence of Thor's "bulletproofness," as a loose adjective, in the Marvel comics.
Thor's trusty hammer Mjolnir is both his primary weapon and shield by the virtue of spinning it at supersonic speed, and of course he almost always wears armor. However, there are few instances in the Marvel comics where Thor has taken hits from bullets (and full-on military ordinances) and survived. Sometimes it puts him out for a bit and gives him an artful action-movie-hero bleeding cut — but that qualifies as, for all intents and purposes, bulletproof. Now, Thor has been killed in several comic appearances — but never by a bullet. Things that have successfully killed Thor are much more energy-based than bullets, or mystical attacks from creatures on an order of godly magnitude akin to and even beyond Thor's own power.
Bullets ain't no thing for Thor
Within the MCU, there's plenty of evidence to prove that Thor can't be killed (or even harmed all that much) by bullets — or by things much, much more lethal than ammunition from a firearm.
In Avengers: Age of Ultron, Thor came under high-caliber Terran weapon fire. While Thor does duck and cover, he's never presented in being in any real mortal danger. Even if bullets aren't fatal, the focused concussive strike can't be terribly pleasant, so anybody would naturally shield themselves. Shooting the Hulk, for example, makes him put up his arms as a shield and often enrages him further, though no injury is seen. (It might not kill you, but it sure would be annoying.)
In 2018's Avengers: Infinity War, the God of Thunder permits himself to be fried under the focused power of a star for the sake of making his battle axe Stormbreaker. Thor also performs the incredible task of using Rocket's exploratory ship as leverage to make the Rings of Nidavellir spin again, and is shown easily cutting a swathe of what one would assume is high-velocity flak and ice with absolutely no trouble. (This may be different in cases where technology is non-human or more advanced. For example, neither Thor nor his adopted brother Loki take any brazen chances when confronted with energy rifles in Thor: Ragnarok.)
And if you'll recall, in the first Avengers film, Loki stabs Thor with his daggers. It's hardly a mortal wound, but that means Thor is subject to laceration — be it from people of similar strength, from weapons made of whatever mystical Unobtanium humans don't have access to, or (most likely) a combination of both. He did lose an eye, after all.
Fiction being fiction, suspension of disbelief in the face of inevitable inconsistency should always be at hand. In short: yeah, Thor probably can't ever be killed by a bullet (considered as a ballistic projectile by our real-world universal standards), for the most part.