The Outer Limits (1995): 5x22

Better Luck Next Time

In a warehouse, two men are fighting for possession of a gun. During the struggle, they mention various connections to earlier struggles between them. One of the men is finally able to get the gun, declaring himself the winner, and then promptly shoots himself. While he is dying, a blue energy being comes out of his chest. Before the surviving man can escape, the police show up and arrest him.