Why look and shake your gun after ammo runs out?

This has always amused me. A lot of times, while in the heat of battle, after the gun ammo runs out, the character looks at his gun giving it a slight shake. As if thinking this will fix a possible jam or add more ammo to it. What kind of reaction is that and why is it used so frequently?

I have just been watching another episode of Lost, and Sawyer did this exact thing when he ran out of ammo shooting at the 'others'.