Neither will "cut straight through" a person. The decidedly unaerodynamic penny would make its way down at about 25 mph (under 40 fps), while a more aerodynamic bullet would reach about 200 mph (or about 300 fps) when dropped. The maximum velocity it achieves is the product of the air drag and the pull of gravity. It's very close to the terminal velocity of a peregrine falcon in a dive. A 40 grain bullet dropped from the CN Tower would have nearly 8.5 foot pounds of energy, probably enough to at least fracture the skull, perhaps penetrate it. If a person fell from a great height, he would reach a terminal velocity of about 150 mph (220 fps). For more details on falling bullets in the sky, see h t t p s://web.archive.org/web/20080331192517/http://www.loadammo.com/Topics/March01.htm
Regarding the energy of a standard velocity .22LR bullet at 1500 yards, the following table shows that it will have a velocity of 263 fps with 6 foot pounds of energy. For comparison, a non-PAL air rifle firing a typical 8.4 grain pellet at 495 fps will produce 4.57 foot pounds of energy. There is sufficient energy in both to require great care and respect for safety.