For off camera exit wound headshots wearable devices are used that are either actor triggered or remotely. These devices blast out an amount of blood at the back of the head, yielding a realistic splatter pattern. These devices yield a realistic trajectory and saves the trouble of doing a correct flood simulation.
For on camera exit wounds so called 'squib heads' are used. These are blood packs which can be detonated from a distance or again by the actor himself. These squib heads are placed on the actor and blasts out blood and "stuff" in the desired direction.
For the more deep headshot wounds often prosthetic are used that blast out everything the director wants using air ratchets to pull out the inside of the prosthetic.
For complete blast offs of the head they might use silicon heads filled with blood packs, which they just blow up. This however, requires a cut from the acting actor to the silicon head.
Above techniques can also be applied for throat cutting, especially the prosthetics are really useful as well as the blood squirting devices.
CGI can be used to give a wound more details or to add some splatter, however, it will look quite fake if overdone, which with the "real" prosthetics and squirting devices is not the case since these are by definition physically correct.
For more info watch this documentary from the Dawn of the Death remake.
Note that silicon heads are expensive and hard to make realistic, as is shown by the original Dawn of the Death, which has an "hilariously" puppet headshot.