The shotgun shells were loaded with rock salt. As in, the salt you pour on your driveway to melt ice. Not buckshot. (Michael Madsen's character mentions this at one point. And yes, it is possible to do this - I've heard of farmers who use this method to "deter" trespassers without killing them.)
It won't kill you, but it'll burn like a motherfucker. Like how pouring salt on a wound hurts? Well, in this case, the salt MAKES the wound, then sits inside it.