From the instuction manual:

The Zapper is a new type of light gun that challenges your reflexes and quick judgment. It combines a light-sensitive gun with video-game fun.

The Zapper, or Light Gun as it is called by many people, has been around almost as long as the NES itself. After the Robotic Operating Buddy (R.O.B.) failed as an accessory, the Zapper was bundled in the Nintendo Entertainment System Action Pack along with the control deck, two NES controllers, and the Super Mario Brothers/Duck Hunt game cartridge. By detecting light on the TV screen, the gun could tell what it was pointed at and register the shot as a hit or a miss. Although it's difficult to imagine the NES without the Zapper, there were relatively few games that it could be used for, although compared to the R.O.B., it had a huge library.

Complete list of NES games that use the Zapper, either optionally or as the main controller:

A few years ago, I got curious about how the light gun worked. So, I asked. Straight from the horse's mouth (NINTENDO@noa.nintendo.com):
When you pull the trigger on the Zapper, a white square will flash where all the available targets are on the TV. The Zapper gun can read the flash and determine if something was hit or not. If the Zapper gun detects a flash, it can tell by the timing which target was hit.

Amazing what one can learn by asking the right people.
The original release of the the Nintendo Entertainment System in 1985 included a dark gray Zapper with light gray highlights and a bright red trigger. Apparently some people believed that these colors made the Zapper look too much like a real gun (you know, because so many people owned laser pistols in the late 1980s) and the next generation of Zappers (i.e. the next manufacturing run) introduced a color change in the gun. The new Zapper was bright orange in color to show that it was obviously a toy. This model also had a black trigger, but the light gray highlights remainded. There is no technological difference between the two guns; they both operate the same (and they both make that neat "KA-PWANG" sound when you pull the trigger).

Incidentially, it's often quite easy to find a used Zapper for sale at used game stores or online auctions for under $5. What can be difficult is finding a used gray Zapper for sale at a reasonable price. Seeing as how the gray models are older, they've been around for longer and have taken more abuse, so there are statistically less of them in circulation. Furthermore, many younger gamers felt jaded by the Zapper (gray or orange) since it was playable with so few games and cut off the cords so they could play with the Zapper itself as if it were a real gun, thereby further lowering the amount of active Zappers in the wild. Some people feel that since the gray model was discontinued it's more valuable than the orange model. This argument is hollow seeing as how both models are no longer produced, so both models are worth the same in that regard. Orange zappers are more common in the used game market, but the gray ones are out there. Don't let anyone talk you into paying big bucks for a gray Zapper.

And don't even try to shoot the dog. You just can't. Accept it.


References:
http://db.gamefaqs.com/console/nes/file/nes_zapper.txt
http://www.eBay.com

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