In a test only the military could afford to perform, human leg bones are cut in half through the middle of the diaphysis (the shaft), cast in blocks of ballistic gelatin, and shot with the the following firearms:

Colt 1860 .44 caliber revolver
Colt 1911 .45 ACP pistol
Colt Single Action Army .357 Magnum revolver
Sharps .54 caliber carbine
Springfield .58 caliber rifled musket
Colt M-16 A1 5.56mm rifle

All shots are fired so as to pass through the epiphysis (the joint end); the impact is filmed with an 8000 frame per second video camera to show temporary cavity formation, then photographed and x-rayed to show the permanent cavity and placement of the bone and bullet fragments. This clearly demonstrates the dependence of the temporary cavity on the bullet velocity, as well as the secondary wounding caused by bone fragments.

The icky part is summed up in this quote from the film: "Bone marrow was ejected onto the ceiling above the test target."

The quality isn't great; the images are dim and grainy, but they still manage to convey the desired information.