The ideal bullet is made of a dense material, as denser bullets can absorb and carry more kinetic energy for their size, which means they slow down less due to drag as they travel through air or things. Lead is ideal for this reason, as it’s denser than pretty much any commonly available material at 11.3 g/cm^3 (copper is 8.9, steel is ~7.8)
If you fire a lead or steel bullet of the same size and shape out of a gun, the steel bullet comes out faster at first because it’s lighter than the lead bullet, but slows down more rapidly because it’s carrying less energy. The lead bullet will carry more energy and better maintain it’s speed, giving it more range and power.
Lead also has the benefit of having a low melting point and being very soft, so it can be easily cast or formed into bullets. Its softness also means it can be engraved by the rifling grooves without damaging the gun barrel. It’s softness also causes the bullet to balloon or mushroom out when hitting something, which increases lethality on human or animal targets. So it’s ideal for making bullets. Maybe the only thing better for these factors will be gold, but that will make for a very expensive bullet.
That being said, lead does have its drawbacks. In high velocity or powerful loads, lead bullets can melt or stripped away as it is pushed through the barrel due to the intense heat and stresses from friction. Jacketed or patched bullets were develop to get around these issues, by using another material like copper or paper to wrap around the outside of the lead. Copper or bronze jackets are ideal for this because they’re stronger, has low friction, and high melting temperature – while still soft enough to engage the rifling grooves without damaging a steel gun barrel.
A wide range of other materials have been used for making bullets, with or without combining with lead. The French military rifle cartridge used in WWI (8mm Lebel) had a solid bronze bullet. Softened mild steel being several times cheaper than lead is often used for bullets when the military wants to save money, as in the case of a lot of Soviet or Chinese military 7.62mm ammunition meant for the AK. The Spanish experimented with a strange one having a aluminum core and copper outside. Armour piercing bullets have a tungsten carbide or depleted uranium core, which are very hard and denser than lead, making them more powerful ballistically and ideal for punching holes through armour.
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