I agree. I have seen this movie many times over. And I have to say, after carefully examining the characters in this movie - and they were great characters - I can only conclude that it was Colonel Fitts who shot Lester. And I'll give you my reasons. I came to the conclusion that it could only be Colonel Fitts, the moment he left Lester's garage. I think we can all agree here, that the Colonel was a Closet Homosexual. Just look at how despondent and tormented the Colonel's wife is throughout the movie. Anyway, there are two big reasons why I feel it had to be the Colonel. Number one is - after the Colonel comes out of the closet - so to speak - with Lester, he is rejected by Lester. I've experienced rejection in my life at one time or another, and it can be a terrible feeling. The second reason is - now that the cat is out the bag, so to speak, that the Colonel is gay - a hardened macho Marine, Lester had to die. When he rejected Colonel Fitt's advance, Lester's fate was sealed. Only, he didn't know it of course. There was just no way that the Colonel could take a chance on having Lester blabber to the whole neighborhood, about that encounter between him, and the Colonel - a tough guy marine, no less. Do any of you see my point here. As for the Colonel's wife, I just can't see him going home, and taking it out on his wife. He may have been gay, but I never got the impression that he was a stupid, or irrational man. Getting back to his wife - she was probably the one person in the world, before Lester, who knew he was really gay. Hence - the depression, and torment she exhibits in the movie, that I mentioned earlier. As for Lester's wife possibly killing her husband, I can't buy that. Carolyn had issues, but a killer ? Just what her intentions were when she headed back home, with her gun in her purse, who knows ? It may have been simply to put a scare in into Lester, because of everything that had happened with getting busted by Lester, with Buddy the king, as well as Lester finally growing some balls, and not putting up with Carolyn's bullshit, and fantasy world anymore.
Plus, as some have already have pointed out here, she was outside approaching her home, when she heard a gunshot - at least we are led to believe that she heard it. As for that gunshot coming from the Colonel's home, I doubt it because Carolyn was in a closer proximity to her home, than the Colonel's house. Plus, there was the noise from all the rain. Remember, it was raining outside - and pretty hard at that. That would have had to have been some gunshot, and Carolyn would have to have had some incredible hearing senses, if in fact that shot did come from Fitts's home, after running home and killing his wife, as some have suggested. One last comment here. I'm not a forensics expert, so I honestly don't know in which direction the blood splatter would have traveled right after Lester was shot. So, I make my assumption on face value - that is from the scene after Lester is shot. You see the Colonel with blood splatter all over him - and by the way, did you notice how out of breath Colonel Fitts was, when he's shown removing his latex gloves ? As if he had been running from somewhere, or around somewhere. So, if he in fact did go home and kill his wife right after leaving Lester, why would he be in such an almost panicked state ? The Colonel would have been in the privacy of his own home, with no one around. He could have killed his wife, and taken his time in disposing of all the evidence. And if Carolyn shot Lester, why is there not one drop of blood on her ? I would think at least a little of Lester's blood would have gotten on her clothing. And lastly, as for Carolyn dumping her gun in the hamper in her closet - I think she totally freaked out, after she came home and found Lester slumped over the kitchen table, with blood all over the place. She probably just panicked, after realizing that she had a gun in her possession, and worried that the police were going to think, she shot Lester. Of course, the police would have ruled that out, once they found that Carolyn's gun had not been fired, and so could not have been the the murder weapon. But again, Carolyn probably wasn't thinking rationally, because she was so freaked out after just finding her Lester shot to death. I found this scene so Ironic, because Carolyn was on her way home to scare the shit out of Lester, with her big mean brand new gun - she's not going to be a victim anymore ! - and instead, Lester has already been taken care of - permanently. So that's it folks. Again, all of this is just my opinion of what transpired. You can all come to your own conclusions here. I would never say, that all of my guesswork and assumptions are infallible. That's what makes a movie great. A great movie, that has a great ending. The kind of ending that leaves it to the viewers, to try and figure out what actually happened.