The chart below plots estimates of gun ownership against the murder rate for EU countries (red) and US states (blue). Estimates of gun ownership for EU countries were taken from the 2007 Small Arms Survey. Estimates of gun ownership for US states were taken from a paper by Okoro et al. (2005; Pediatrics). Because Okoro et al.'s figures are from 2002 (when gun ownership was lower), and correspond to household ownership rather than simply guns per capita, I (conservatively) added 20 to each state's estimate. I say "conservatively" because this still only brings up the average gun ownership to ~60 per 100 people, whereas the Small Arms Survey estimated ownership at 89 per 100 people in 2007. Homicide figures for EU countries were taken from Eurostat, while those for the US were taken from the FBI. Figures were averaged over the years 2008-2010 to obviate sampling error in small states with few murders.
Overall, the murder rate is much higher in the US than in the EU. However, within each continent there is no clear association between gun ownership and the murder rate. Some US states are armed to the teeth (e.g., North Dakota, Idaho, Utah and Iowa), but have murder rates on a par with countries such as Ireland, Belgium and Cyprus. By contrast, other US states are not especially well-armed (e.g., New Jersey, New York, California and Maryland), but have murder rates considerably higher than nearly all EU countries. Interestingly, the four EU countries with the highest murder rates are concentrated in the North East, next to Russia.
Furthermore, Eugene Volokh at the Washington Post recently reported that there does not seem to be any association between the murder rate and the stringency of gun control laws across US states:
There’s been much talk recently — including from President Obama — about there being a substantial correlation between state-level gun death rates and state gun laws. Now correlation obviously doesn’t equal causation; there may be lots of other factors that are the true causes of both of the things that are being measured. But if we do look for now at correlation, it seems to me that the key question should focus on state total homicide rates, or perhaps (for reasons I describe below) total intentional homicide plus accidental gun death rates. And it turns out that there is essentially zero correlation between these numbers and state gun laws.
He argues, as I also would, that the appropriate measure of homicide is not murders committed with guns per capita, but simply murders per capita. The main reason being that, in the absence of guns, individuals presumably select into other methods of killing, such as knives or clubs.