I can only comment on human targets shot with handguns.
The bone splinters can cause additional damage, almost as secondary projectiles. These can make an exit with the bullet, but generally they stay in the tissues. They can also be used for the forensic determination of the direction of fire. Here is a picture of a guy who was shot in the lower thigh (distal femur, cropped lateral view for you medical folk).
The entrance wound was at marker 1, and there were two exit wounds, marker 2 and 3. Fragments of a bullet are in the leg. The likelihood is that breaches 2 and 3 are due to separate parts of the original bullet having enough energy to make an exit. The evidence is that the guy was shot in the back of the thigh, the bullet broke his femur and pieces of bullet and bone drifted towards the front. Two items made an exit. I say items because it cannot be ruled out that one of the exiting items was a piece of bone. But that degree of bone displacement is not unusual in gunshot wounds involving 'long bones.' There is less resistance from 'flat bones' such as the skull and pelvic crests where the bullet will more likely punch through without making large bone splinters. And then you get the unpredictable 'deflectors' such as teeth, vertebrae and tarsal and carpel bones. Well you could write a whole book on the subject of gunshot wounds
