The answer is "chest."
The key is "high velocity." This means that if the bullet is stopped by your body, the kinetic energy will cause massive tissue necrosis. Head or guts, you're just dead. Limb, you'll lose it if you live.
Chest, if it goes through heart or aorta, you're dead. But most of the space is lung, and the bullet will go straight through you, and with luck and prompt care you may survive pretty much intact.
I was told this by a South African trauma surgeon with great experience in this very area, in the context of the attempted assassination of Ronald Reagan.