Werner Mehl from Kurzzeit has created a video in which you can see how bullets react when they hit a metal wall. The video is filmed at 1 million fps and you can see the myriad of ways a bullet can become dust in just a fraction of second.
Bullets are dangerous because they either hit a vital part of the body killing you instantly or they create a big hole in you or on the way out letting you die of blood loss. If a bullet does not hit bone and you are shot from close, then the hole it makes is smaller. Anyways, make sure to not get hit by a stray bullet.