From loadammo.com, who is reporting on US Army ballistics testing:
"Based on the results of these tests it was concluded that the bullet return velocity was about 300 f.p.s. For the 150 gr. bullet this corresponds to an energy of 30 foot pounds. Earlier the Army had determined that, on the average, it required 60 foot pounds of energy to produce a disabling wound. Based on this information, a falling 150 gr. service bullet would not be lethal, although it could produce a serious wound."
And this is a .30 caliber bullet; larger rounds will fall faster/have greater velocity on impact.
So - it's not necessarily lethal, but neither is it a "wives tale". Let your kid stand outside during all of this, if it's "no big deal". "Shut up and fire you're .22 son! It's only a serious wound. Quit cryin'!"
Two posters above had the intelligent answers - either point your muzzle down, or use small shot in a shotgun.
I don't fire my weapons in the air on NYE because I think it's the mark of a hilljack/punk, at least in my area. I understand other areas are different, and to each his own. But don't dismiss it as "totally harmless/myth, because you're WRONG.
Fair enough. I've never done this either, and don't desire to.... I spend the fourth and new years trying to settle my dogs and horses down, not creating more noise. I still think the odds of getting hit by one alone make any warnings of risk of death seem overstated, but who cares, it isn't a valuable activity in the first place.