Infininja: Edit: Guessing it runs out of charge. Conserve ammo and whatnot.
SPOILER ALERT
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There is a certain point in the game (possibly two points in the game) where Lester's gun will run out of ammo. As far as I can tell, this is unrelated to how many shots have been fired and just happens at certain places as part of the story. I believe there is a blinking light on the gun to indicate that it has occurred. Fortunately, there are "recharging stations" nearby in both of these cases to recharge the gun.
EVEN MORE SPOILERS!!
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The first time this happens is right after Lester finishes rolling through some pipes... the part where there are occasional gas bursts that you have to time your way through. After Lester drops out of the pipes into a room, immediately head left to enter the recharge station. Once you know what the stations look like, you should have no trouble finding the second one when it shows up (and honestly I'm not even sure if it's necessary to enter the second one).
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END SPOILERS