A quick google brings this source up... excerpt below from:
http://yarchive.net/gun/ammo/overpenetrate.html
(Of course the source is old, so the examples are old...)
"Remember that fully 75% -SEVENTY-FIVE PERCENT, 3 out of every 4- of the rounds fired in self defense miss their target ... At least without the attenuating effects of having passed through a living body. How much energy is given up in the process is problematical and debatable: a little, some, most? The important point is that the other 75% of the fired rounds are potentially more dangerous having not impacted an assailant.
For those not familar with the Ayoob article he cited three cases of of over-
penetration:
1) 1989, Philadelphia cop is killed by .38 slugs from police passing through
a felony suspect;
2) 1990, Univ. of Arizona campus, officer A fires at suspect and bullet passes
through suspect's ARM and goes on to kill officer B;
3) 1990, So. Cal., L.A. sheriffs "became embroiled in a shootout with an armed
robber". Badguy ran into the doorway of a mom 'n pop convenience store. Mom was behind the badguy when police fired, bullet passed through the badguy, mom died, badguy lived."
Yeah, it's rare of course... I suppose I've kind of been affected by an incident of bullets going through the outer wall of the house next door and lodging in the furniture. It happens around here... Little kids, even, have been wounded by stray bullets not far from where I live, just recently. It's not really a BIG deal to me... just another consideration.
I hear what you're saying though... This type of incident is statistically very rare.