Bullets serve as ammunition for firearms. In addition to allowing you to fire your gun, they also add a small amount of damage and accuracy - usually in the 1d2 to 2d2 range. Bullets can even go as high as 2d5, but this is usually reserved for artifacts and are extremely rare. For all intents and purposes, bullets are the same as energy cells, and are interchangeable with cells.
Equipping a bullet gives you unlimited normal ammunition. Some higher quality bullets may be able to contain charges of special ammunition effects.