I saw an episode of mythbusters where they were firing rounds into a swimming pool to see how far a bullet can travel in water and still cause damage. Here is a copy and paste of their results:
In their first experiment, the experimenters shot the 9mm pistol straight down into the water. At a range of up to seven feet, the 9mm round was effective in completely penetrating the ballistics gel meaning a person at the same range would be killed. At eight feet, the bullet entered but did not exit the gel, indicating a possible non-fatal wound. Past eight feet, the gel was undisturbed.
The shotgun, loaded with a 3 deer slug instead of buckshot, not only "killed" the ballistic gel target at six feet, it destroyed the acrylic water tank, ending that method of testing.
The team then switched to a swimming pool to continue the experiments and to make the test more realistic, switched from shooting straight down to an angle of twenty to thirty degrees off the vertical, approximating a shooter standing on the edge of the water and shooting out into it.
The first candidate for this test was the Civil War rifle. At a range of 15 feet, the ballistics gel was completely unharmed; likewise at five feet. Only when the range was reduced to three feet did the bullet finally penetrate the gel, suggesting that diving under water was probably a pretty effective way of dodging slugs during the Civil War.
The experimenters moved on to the hunting rifle, which was loaded with a full-metal jacket .223 round that emerged at roughly 2,500 feet per second. At ten feet, the bullet disintegrated and the gel was untouched. At three feet, the bullet again broke up, with its tip coming to rest on the gel not nearly enough power to damage flesh.
A bullet from the M1 Garand, with a muzzle speed of 2,800 ft/sec, also disintegrated at the ten-foot range. At two feet, the slug penetrated about four inches into the gel, suggesting a non-fatal wound. The armor-piercing .50 caliber round didnt do any better it, too, came apart at distances greater than five feet and lost most of its punch by three feet.
In other words, people shooting their guns aiming at an underwater object likely do little more than make noise.
Incidentally, is this particular "incident" directly relevant to scuba?