http://www.brassfetcher.com/ is good for ballistic gelatin testing.
http://www.theboxotruth.com/ is good for penetration and urban legend testing.
Unjacketed lead bullets can make a real mess in the bore and spooky things can start to happen if they are driven at too high a velocity.
Copper jacketed lead bullets start to disintegrate in flight once you start to drive them around 4000 fps or so.