All Gun Mages are required to have Weapon Focus: (Pistols), so they can qualify for Improved Gunslinger.
-7 to attack rolls in the first round for a +15 to initiative? I say yes. So does the ocean.
Versatile Spellcaster is an interesting choice. Another is a one level dip into Cleric. Turn Undead uses equals win, especially with some of the nicer divine feats (Divine Might, I'm looking at you!)
And don't forget your domains: War, Charm, Retribution, and Time are all good. Don't forget Domain Spontaneity and Arcane Preparation to cast your Domain spells out of Gunmage slots; it really helps.
Bard also has some decent synergy.
Arcane Tempest is a gimme for a prestige class; it gives you more spells, and it just looks great on your resume.
And if your willing to be a little more extreme about this...
Ask if you can take a bloodline. Take the demon bloodline to get Power Attack for free. Buy Iron Will from the Oytugh hole, and see if you can get your friendly local cleric to give you a belt of Divine Power. Dip Cleric for the War domain. Take Gunslinger, Improved Gunslinging, and Lady's Gambit.
For those of you not in the know, Lady's Gambit let's you sacrifice your level (in increments of 2) in hp, and you get half of that as a bonus to attack and damage. For example, at level 10, you could sacrifice 10 hitpoints to get a +5 to attack/damage.
So combine those three feats for a +20 to initiative and +10 to damage at 20th level. And all it costs you is a measly 20 hitpoints.