Firing animation, sound fx, particals and enemy reaction animation to that weapons ammo type.
Don't get carried away. Enemy reactions have a big gameplay effect, this could easily lead to stun-locking if handled poorly.
The firing animation should show the gun has kick without giving the player much actual recoil even shaking the camera, the sound should be metallic with decent bass, the particles should clearly indicate the weapon is effected by firing (smoke, heat warble, muzzle flash, etc) and the weapons ammo type (which can apply to other weapons obviously) should trigger either good knock-back, penetration, gore, etc on the enemy units.
A few slight nitpicks:
Gunshots do not sound metallic, they sound like bombs going off.
Modern guns do not produce significant smoke.
No firearm can knock a target back, physics won't allow it. (Newton's third law.)
Gunshot wounds are small and really aren't that gory. I could show video if required.
I would prioritize enemy reaction animation, as its not as broad in scope in most games and was IMO what made old games like Golden Eye for N64 stand out and still does in modern games today. Its one thing to kill the enemy, but its good to have feedback for grazes, minor wounds, armor hits, debilitating hits, and major wounds to let the player know they missed the mark.
Again, you MUST keep this under control or you get stunlocking.
And here, how this works:
Enemies have a chance of flinching directly in proportion to the damage dealt. They also have a (way smaller) chance of staggering, a (way, way smaller) chance of falling down and a (way, way, way smaller) chance of passing out. I just did the math and found a .303 british round of standard in-game quality (modern powder) deals 253 damage against a typical low-level human, which is pretty good for a rifle, and has a 100% flinch chance, 25.3% stagger, 2.53% knockdown and 0.253% knockout against an NPC. The chances decrease more rapidly for a PC or special character, so 2.53% stagger, 0.025% knockdown, and 0% knockout. Location is important. Headshots, for instance, are different. (100%, 100%, 100% and 100% base for an NPC, 100%, 100%, 12.65% and 1.265% for a PC.) These are all base values, of course, there's more to it than that, such as adrenalin and the target's stats, and they'll actually end up much lower most of the time.
Enemies also have their stats reduced by wounds, as well, through limb damage, health loss and a couple minor things. Every 25% of a limb's health lost also triggers a status effect, shows damage and changes animations, as does every 5% of their health score. So an enemy shot in the knee will hobble around, losing speed, stability and control, and as enemy that's bled out half their health is slow, weak and liable to fall down and be unable to get back up.
Make sense?