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It's probably best to not fire any rifle or handgun ammunition into the air. If the ammunition has any kind of ballistic properties, then don't do it. Yeah, fired at or near vertical the bullet will not have much energy when it hits the ground, but...

A shotgun with birdshot is another matter

WildBill wrote:Even though I am quite confident in my believe that a free falling bullet would not penetrate my skull,
I am not willing to stand at the base of the Empire State Building and have people drop pennies on my head.

I think Mythbusters tackled the penny from the Empire State Building myth too and it was thoroughly busted.

from Wikipedia: E = (M x V²) ÷ K, where K = 450435, M = bullet wt in grains, V = velocity in ft/s

Assuming:124 grain 9 mm, terminal velocity (V) = 300 ft/s, then E = 24 ft-lbs compared to 330 ft-lbs muzzle