Common causes of ammunition misfire.
The most dangerous if undetected is the SQUIB LOAD!

Misfire: A failure of the cartridge to fire after the primer has been struck by the firing pin. OK, you squeeze the trigger and the gun goes click instead of bang, that is basically a misfire. You need to continue to point the handgun in a safe direction in case it decides to go off a couple of seconds later. After approximately 20-30 seconds un may continue shooting. If you have a revolver just squeeze the trigger and the cylinder will rotate the next round into position and fire. If you are using a semi-auto simple pull back the slide to eject the bad round and release slide to load new round, continue firing.

Hangfire: A perceptible delay in the ignition of a cartridge after the primer has been struck by the firing pin.  Now the fun begins (if you have a twisted sense of humor), you pull the trigger and the gun goes click rather than boom, a breath or two later the gun goes boom and scares the hell out of you. This is a Hangfire. This is why you need to wait in the event that you get a "Misfire', because you do not know at first if it is a misfire or a hangfire. In the event of a hangfire, simply compose yourself and continue shooting. Can you image what would happen if you had a misfire that was actually a hangfire and you didn't wait the 20-30 seconds to continue? Well if you can't allow me to give you a what if:

Revolver: You have a misfire and you go ahead and pull the trigger right away, as the cylinder rotates the round goes off ( hangfire). Now part of the bullet goes out the barrel , some goes out the side of the cylinder, some goes into your hand, well you get the idea.

Semi-Auto: Same scenario, as you pull back the slide to clear the misfired round it goes boom, you will get powder burned, cut or both and if it was me I would have to change my shorts.

Squib Load: Development of less than normal pressures or velocity after ignition of the cartridge. Unless it is the very first shot you've ever taken you will know when you have a squib load, because the gun will go poof instead of boom. A squib load is nothing more than the round not having enough force to push the bullet out of the barrel and down range. Most cases the bullet is stuck half way down the barrel. So when ever shooting your handgun and it just doesn't sound or feel right, stop immediately. Unload the handgun and proceed to look down the barrel to see if the bullet is stuck. If so, carefully run a cleaning rod down the barrel to push the bullet out of the barrel.

What happens if you shoot another round when there is a bullet stuck in your barrel?

 Above is a Glock barrel that was a victim of a squib load, could be ugly. The first bullet could simply be pushed out the end of the barrel with the second with no damage - The barrel could be damaged due to over pressures of a second round attempting to push the first round out the barrel ( you end up with a bulged barrel)- lastly the darn thing goes boom and parts fly off and cause you injury.
So if a squib round is suspected - STOP IMMEDIATELY- Clear your weapon and clear the barrel - if concerned have an expert check out your handgun from damage if you shot a round thru barrel with squib load lodged in same.