Depends on the situation. If it's a stranger mugging you at gunpoint, comply peacefully, de-escalate and run/ contact authorities when you can.

If it's, say, a husband coming home to find you in bed with his wife, this is different. If the person intends to shoot you, your goal is to get the gun from them, or at the very least pointed away from you. Try to peacefully approach with your hands up in self defense (some instructors say to be in a boxing stance, but this can be threatening- i like to reach forward tentatively in a "there there" motion) and your goal is to grab the gun, turning it away from your vital areas in a way that forced their wrist away from their bod releasing their grip.

If course don't try this without proper self defense training.