Shooting a weapon attracts unwanted attention to the shooter. Therefore, a long range rifle shot is best. A problem there is, when the target is static, there's usually a lot more guards around and more surveillance looking for snipers.
Provided the bomb can be attached without notice, bombs allow the bomber to escape before the fun begins. A two-man team; the bomb-planter and the remote detonator, is helpful since it allows the bomb-planter to focus on escape while the detonator observes safely from a distance.
Let's not forget that such missions have multiple phases: the set up, the execution and the escape. Does anyone really want to be captured and interrogated by the fucking Russians?