Mythbusters also had an episode where they shot up neon signs to see if they could get a shower of fireworks like the movies. Busted.
They also had a shooting at people underwater show. High velocity rifle rounds were the worst. They pretty much explode on impact with the water. You were safe a foot under water. Musket balls otoh were deadly down to 4 feet.
One thing I keep wishing they would check is if hitting explosives like TNT or gunpowder causes them to explode. I can think of a few westerns and war movies where people are held up in a room full of TNT, gunpowder, grenades, etc and nobody takes a shot because they’re afraid of it going off.