A decade later, I'm happy to announce SHOUT Factory is releasing a Blu Ray of it. No word on what it will contain, but SF almost always has some nice commissioned artwork and special features with the actors and crew, plus, they always take good care of getting the transfers to look as good as they can.
http://www.blu-ray.com/movies/Harley-Davidson-and-the-Marlboro-Man-Blu-ray/64533/

The wound was obtained in the armored truck shoot-out. I don't know if it's a bullet wound, but blod can be seen on his shoulder in the aiplane graveyard, after the escape.

Man I love this movie too and would die for a special edition, I doubt we'll ever get one though. . I've been reading a bunch of reviews by people at other sites and am amazed at how many people like myself find this film to be a modern classic when it's just ridiculed by the majority of critics. Too bad for them, It's a classic.