With Thor, we have actual showings where he withstood bullets, while Wonder Woman ALWAYS have to block with her bracelets. John Byrne, in one of his issues of Wonder Woman explained this already, and he said that she is tough, so she can survive blunt attacks, but her skin is not invulnerable and she can be injured by bullets and pointed objects.
The only argument WW fans have are the instances she can fight powerful opponents (and she can), but at the same time, she was consistently shown to be not as durable as Thor, Superman or Hulk. Thor walked through Superman's heatvision, while Wonder Woman was immediately incapacitated by one martian heat vision.
The difference with Thor....with Thor, we have concrete evidence showing his bulletproofness and durability...it's only the argument that "well, he blocks bullets...blah...blah...blah" which muddies up the situation. While with Wonder Woman, she was never shown to be that durable. The only argument in her favor is her knack of surviving fighting powerful opponents (which if we consider realistically, she ought to survive because DC is not liable to kill her on a monthly basis).