Stabbing would be waaaay worse than being capped. I'll take one to the head rather than bleed to death with minutes upon minutes to await the end. Surviving a gunshot is definitely a cooler thing than being stabbed and surviving, so getting shot wins all the way.
Eh.. cool factor? In the short term a gunshot wound.
In the long term? Stabbing. There's no such thing as an uncool stabbing. You bleed.. people know you've been in a fight.. and you get SCARS! Whoohah, everyone digs scars. It's like some badge of living that you dont have to pin onto a vest or shirt to show off. They see it, they know. Done deal.
But anyone can immediately ask you 'where were you shot? was it fatal?' And it leaves a crappy little scar. Unless you include shotgun sprays... exit wounds on high velocity rifle rounds.. the tumble trajectory thru the body.. the huge angry bruisings/blotchings you'll get from being shot while vested/protected, yup. Those sorta count for something 'cool'.