I did not see that episode, but if they tried that, I would want to know what weight bullet they tested this "myth" with.
I think a 40 grain .22 cal bullet might just leave a pretty good knot on your head. However a 300 grain bullet would probably create a little business for the local funeral chapel.
In both cases, the speed would be the same. However, as I hope everyone on this site knows, the "energy" of the 300 grain bullet would be MUCH greater. I'm too lazy to do the math for the actual difference.