How do game developers(commercial) create awesome game gun sounds like in COD4, HALO 3, etc?

Presumably at some point someone recorded the sound of a actual gun but for now you could just type "gun sounds" into google and mess with them in audacity if you want the sound of a fictional space gun.

For sci-fi effects, you can get a surprising amount of mileage out of sfxr.

For more realistic applications, I would advocate taking a hand-held recorder down to the local gun range...

I can't remember which game, but I remember watching a "behind the scenes" video about the making of one game:
They went out to a gun range and planted dozens of microphones at different distances from the shooting line (1m, 10m, 100m, etc...) and then they fired off a few shots from dozens of real guns.

The sound engineers then took all of these recordings and processed them into the in-game sounds.

Also note that there are companies that do exactly as Hodgman said, except on a full range of sounds that they then license out as sound libraries.
Sound designers can take all those sounds and combine the best of whatever sounds they want and combine them to make something that sounds good on your speakers and in the context of the game.

The best ones a generally recorded live, it's quite hard to do it well due the large transients, but a good gun sound can really make a game. There are some nice ones on Sound Snap you have to register but you get 5 free sounds a month. (No I don't work for them but did use some of the sounds in the latest DBP comp) There are a planty of other sound effects sites for royalty free sounds but check the licenses carefully.

You could also hire a good portable recording deck and go to a gun range, not really a great option in oz as they can play with the really "cool" ones.

If you want realistic sounds, then definately record a real gun shot.

Basically you want to get a dynamic mic for closer range and condensor for at further distances. Run that through a multi channel field recorder. It's best to have a few mic's set up so you can find which combination works best in editting. Make sure to wear ear protection!

That said, you might want to make it more "in your face" by layering sounds with it, such as a pitched snare drum. Remember gun shots never really sound like they do in Hollywood movies.

I remember there is a section of the book about it available in The SFX Bible if you want to check it out, it's a good book.