Okay, I just had to pimp this out when I found it. Delaware Dangerous, a writer's retreat. But this ain't your grandma's writing retreat. No siree, they provide 12 hours of gun training, 6 hours of knife training, and 6 hours of hand-to-hand combat training by trained professionals.
I'm a strong believer of "write what you know." However, this doesn't mean you should limit yourself to only writing about what you know. It means expand your horizons and learn about new things so you can accurately protray them in your writing.
And honestly? Hours and hours of research won't compare to holding a gun in your hands.
Your character doesn't care about what type of gun they're using or the number of bullets it can hold or the amount of colours you can get it in on eBay (unless they're the type to care about that.) If you're character is in a life or death situation, they're going to be focusing on what it feels in their hand, the punch of the bullet firing, the sound it makes. (As well as running for their life.)
Real world experience, when you get down to the nitty gritty details, is what makes literature come alive.
Go, if you can afford it. And if you can't, I really encourage you to head out and experience what your character has experienced. People are extremely helpful if you just ask. If your character likes riding horses, go out to a ranch or riding school and talk to the people about what it's like to ride a horse, how to fasten a saddle, how to care for it, ect. Nothing compares with hands-on experience.
(Disclaimer: If your character is a serial killer... hands-on experience is not advised. Please seek professional help and do not blame the writer cowering behind the computer screen.)
"Write what you know" should not be a limitation. It should be an excuse to get out there, learn everything you can, and apply that realism to your writing.