Reportedly handy for blowing out brains and dead bolt locks.
From the Wikipedia:
In the penetrating type, the stunner uses a pointed bolt which is propelled by pressurized air or a blank cartridge. The bolt penetrates the skull of the animal, enters the cranium, and catastrophically damages the cerebrum and part of the cerebellum. Due to concussion, destruction of vital centres of brain and an increase in intracranial pressure, the animal loses consciousness. This method is currently the most effective and widely used type of stunning, since it physically destroys brain matter (increasing the probability of a successful stun), while also leaving the brain stem intact (thus ensuring the heart continues to beat, facilitating a successful bleed). One disadvantage of this method is that brain matter is allowed into the blood stream, possibly contaminating other tissue with bovine spongiform encephalopathy (BSE, commonly known as mad cow disease) .The action of a non-penetrating stunner is similar, but the bolt is blunt with a mushroom-shaped tip. The bolt strikes the forehead with great force and immediately retracts. This concussion is responsible for the unconsciousness of the animal. This type of stunner is less reliable at causing immediate and permanent unconsciousness than penetrating types; however, it has undergone a resurgence of popularity due to concerns about mad cow disease. In the European Union, this captive bolt design is required for slaughter of animals that will be used for pharmaceutical manufacture.
The free bolt stunner is used for the emergency in-the-field euthanasia of large farm-animals who cannot be restrained. It differs from a true captive bolt gun in that the projectile is not retractable; it is similar in operation to a powder-actuated nail gun or conventional firearm. Capable of firing only when pressed firmly against a surface (typically the animal's forehead), the device fires a small projectile through the animal's skull. The veterinarian can then either leave the animal to expire from the projectile wound, or administer lethal drugs.
Bet you didn't need to know that.