What goes (straight) up, must come (slowly) down
Indeed, what goes up must come down -– but not at the same speed. When the bullet is falling down, it slows down and reaches a point where it no longer accelerates. It starts to free-fall: this is its terminal velocity. A falling bullet fired straight into the air has a very low terminal velocity. In other words, it is not freefalling at a fast enough speed to kill you.
Hatching a plan: initial trajectory testing
Studies have consistently showed that when fired straight into the air, falling bullets cannot hit the ground with enough impact to be lethal. Major General Julian S. Hatcher, a U.S. Army firearms expert, wrote about falling bullets extensively in his 1962 book "Hatcher's Notebook". He described various military tests on bullets shot straight into the air (an intriguing past-time to be sure). When small bullets (weighing less than a pound) were shot straight into the air, they all made slight mark into a soft pine board when it reached the ground –- about one-sixteenth of an inch to be exact. The bullet's impact is not enough to be penetrating a person's flesh and bones — which is reassuring news for Independence Day revelers.
A word from the Myth Busters
Nearly 50 years later, popular polymath and co-host of the Discovery Channel's "Myth Busters", Adam Savage did a series of experiments to also test the science behind the claim. First, he built an acrylic wind tunnel and shot air through the bottom. His crew then attached an air hose to an aluminum pipe. By carefully controlling the air-flow and measuring the speed of the bullet, they fired bullets at free-fall speeds (around 150ft/s). They fired different types of bullets into the pig's head carcass and recorded it using a high-speed camera. Flying at 166 ft. /s, the 9mm bullet bounced right off the pig's head.
It's a little deserted: out in the open air
It's true: celebratory gunfire doesn't occur in such controlled conditions. To truly test how a bullet behaves in open air, the myth-busters journeyed out to the Mojave Desert, a 1.6 million acre park straddling southern California and Nevada. After shooting a series of bullets up into the air, they trawled through the dessert looking for "pencil-like holes" in the ground. After a tireless hunt, they found the bullets landed horizontally and only made 2" punctures in the ground. Again, the penetration is not enough to kill someone.
Up in the air: not as straightforward as you'd think
The myth-busters discovered one important exception: it is very difficult to shoot a bullet perfectly straight up into the air. Most are shot at an angle to some extent. In such cases, the bullet tumbles down too fast with a higher terminal velocity. At this speed, the bullet can penetrate a person and potentially causing death. This explains the many reported bullet-injuries across the U.S. with often fatal results — yet the practice remains legal in a few American states. Given the unlikeness of firing a bullet with such linear precision, let's leave the celebratory gunshots to the fictional gangsters and cowboys instead.