It depends on a lot of things. Many people are shot and survive; a bullet is not (in most cases) an instant death sentence. It depends on the location, caliber (size) of the bullet, type of bullet (hollow point, etc), type of gun, distance, fragmentation, whether or not they received medical attention and if so, the type of treatment, etc.
The obvious ones are hands and feet and limbs. Head, if it grazed the skull and didn't penetrate; even if it did penetrate into the brain, it depends on which part; people have been shot through the head and survived. Neck and shoulders (though obviously not through the center of the neck), chest and back (unless it hits the heart or lungs, which would make survival much less likely); a shot to the abdomen is likely to do a lot of damage to central internal organs and makes survival less likely. Hips bleed a lot and you'd be less likely to survive if shot there.
But even then, there are exceptions and cases of survival for bullets lodged in places you'd think would be fatal.
Plenty of stories abound of people with parts of bullets lodged in their skull (
http://english.aljazeera.net/sport/2010/01/2010126144035208933.html), brain (
http://www.medhelp.org/posts/Neurol...ffering-with-dizziness--headaches/show/518262), head (
http://www.independent.co.uk/news/w...t-bullet-lodged-in-teenagers-head-429626.html), cheek (
http://abclocal.go.com/wls/story?section=news/local&id=7382298), hip (
http://www.dailymail.co.uk/news/art...discover-bullet-lodged-hip-past-65-years.html), thigh (
http://guardian.co.tt/news/crime/2010/01/21/bullet-lodged-thigh), lung (
http://www.cantonrep.com/stark/canton/x313369628/Bullet-to-remain-lodged-in-7-year-olds-lung), etc.
Some of these can be dangerous, other times not.
Remember that when a bullet goes into something (including a person), it doesn't stay in one piece. It breaks up and fragments. So when you hear about bullets being lodged inside somebody, it's not the whole thing, but a small piece of it.
So to answer your question, anywhere, really.