My experience has been that on new guns there is NO wiggle room - the price is pretty much the price. Used guns are a different story. Depending on how well the shop owner bought, he may come down on price to make the sale.
That being said, I would NOT walk into a gun shop alone and say "I want to buy my first gun." You'll end up with something you don't really need, or really want, and maybe pay too much for it. Does that mean that gun shop owners prey on the misinformed? Of course... this is America!
But, if you want to shop wisely, take some initial steps:
1. Decide what you want the gun for. Target practice? Competition? Hunting? Collecting? Some guns will serve multiple purposes.
2. Do some research - both on the models of guns out there, and on local gun shops. This forum is a great place to start. There is a world of information on the rest of the internet, too. Check out glocktalk.com, sigforum.com, smith-wessonforum.com, hkpro.com or any number of other manufacturer-specific forums, and you'll find alot of opinions! Also try handgunreview. com for some independent observations.
3. Try to get some hands-on time with a few of the guns on your "final" list. There are a few commercial gun ranges out there that will let you rent and shoot on their ranges. Expensive, yes, but so is purchasing the wrong gun. Pay special attention to how the gun fits your hand - and your wallet.
4. If you know someone who has guns, and shoots regularly, ask if you can join them for a range session with a few different guns. Offer to pay for the ammo, and you've made a friend for life!
5. Once you've decided on a gun and gun shops to check out - bring your new friend! He/she will help keep you from making an expensive mistake.
Do these steps guarantee you'll get the perfect gun for you, at the best possible price, and suffer no buyer's remorse? No, but the odds will be better if you do.
My 2 cents.... Good Luck, and keep asking questions on this forum!
Ken