Magic is usually left undefined in comics, although nowadays in the movies (Marvel's Thor) they try to push the idea that its just advanced/alien science that works in ways we don't understand. Fair enough..
In Diana's case, it shouldn't make sense that a bullet can pierce her shoulder but she can also contain a grenade explosion in her hands. There have been explanations given, as someone said above, the bullets could have been god-forged and thus able to bypass both Diana's reflexes and her tough skin.
From the Perez run, we got some information about Diana's bracelets. They kind of work like a D&D magic item, in that they confer an armor protection on her rather than being necessary to place in between her and the oncoming attack. In one scene, she is thrown off one of Circe's beastiamorphs, and clearly falls onto her back from a great height, but says that her bracelets absorbed much of the impact (her hands were spread upward, and were the furthest part of her body from the point of impact; that's absolutely magic happening, and not science.) Also when she crosses them together (as Zeus once was depicted as clashing the Aegis to create destructive thunder, the shield they were forged from) they create a force field that can resist any attack, reflecting even the combined energy of the Greek gods and amplifying the reflected blast enough to destroy mount Olympus itself. Those bracelets are crazy powerful; its the only way I can rationalize someone who can bathe in a nuclear blast unharmed but can be cut by a common knife or bullet.
Maybe she needs to be aware of the attack for the protection to happen? If she steels herself, she can withstand anything? I found it odd that she didn't see or hear Maru's bullet coming so I assume there was something amiss.
So.. yeah. Magic!