A beer gun plugs into your CO2 tank which allows you to fill the bottle under pressure. As I unerstand it, they work great but are a little cumbersome. **EDIT** oops, that's a Counterpressure filler. I guess I always associated the two items as the same thing.
As far as bottling off a keg, there are a number of techniques. Some people overcarbonate the beer by turning up the co2 pressure the day before. This way, whatever is lost during bottlling takes you back to proper levels. Most people advocate chilling your bottles to reduce foaming, and I've heard plenty of times of people fitting their bottling wand onto a cobra tap (it fits perfectly, i've read) and bottling that way. Some people simply stick a length of vinyl tube onto their faucet such that it pours into the bottom of the bottle (this is how I've seen most growlers fille at bars) which also reduces foaming and CO2 loss.
Basically, as I understand it, most of the time it works just fine without the beer gun. I'd say try without it before you drop the $$$. Tell me what you find out as I'm only about a month behind you (i.e. beer is in the keg and the kegerator is nearly finished).
kvh