Shades of The Wizard of Oz - MAJOR SPOILER!!!
I had no idea this movie even exisited until I saw it at the video store. Looked REAL good. Wasn't.
JT is one of my favorite actors (Secret Garden, O Brother...) but after all the cold scenes and odd mind sequences all I could get out of it was that Harry was overcome with grief at his wife's death. So much so that he sat up all hours, when he wasn't at work, viewing the tapes of the mall where he worked. This finally took it's toll on him and he started manufacturing a scenerio that would explain away his wife's murder. (If you recall he was repremanded by his super for alienating the customers in the mall.)
Why do I believe that Harry conjures up all the characters and situations that we see? Because at the end the cop drives Harry to his car which is parked on the side of the road where the diner was supposed to be. There is nothing there but an open field. Harry was no doubt found walking in the field or in his car, but, as others have said, there was no gunshot wound because he was never really shot.
Another reason I believe this is because of the several times that the camera closes in on the back of Harry's head, to show it was all in his mind.
After all that happened to him he realized that he'd just (dreampt) imagined it all and tossed away the cards he'd taken with him (which no doubt were pictures of the people that he'd imagined were responsible.)
So that's my theory. Similar to The Wizard of Oz where it was all just a dream.