Smince...
Okay... I think you are trying to get me on this one so let me clarify myself first. I am not talking about crazy rifle rounds or 20mm rounds. Those will penetrate just about anything. Compared to handgun rounds arrows have more penetration in sand and water. This article has a pretty in depth analysis.
http://www.alaskafrontierarchery.com/Articles.html
Check out this one as well. This is a good one for the 9mm vs. .45 ACP arguements. It turns out the .45 ACP guys were right all along.
http://www.xmission.com/~fractil/math/kp.html