Be careful who is in the next room if you ever start shooting in your home! This statement came after an interesting test of bullet performance in sheet rock. Several walls were created by spacing 12 sheets of sheet rock 3 ½ inches apart. Since a wall in a house is two sheets of sheet rock, we had the equivalent of 6 rooms. Handgun bullets were fired into the ‘walls’ to see how many rooms would be penetrated. Even the .22 long rifle fired from a short barrel handgun penetrated 9 sheets (4½ rooms). Most standard defensive handguns penetrated all 12 sheets (6 rooms) with either hard ball or hollow point ammunition. The least amount of penetration was 7½ shot from a 12 gauge shotgun which penetrated only 4 sheets (2 rooms). It was an interesting demonstration that most bullets will penetrate much further that you think, and while not a real scientific test, certainly food for thought.
Speaking of food for thought, here is an somewhat entertaining video showing the effects (in slow motion) of bullets being shot through things.