The magic bullet trick usually involves proof that the gun is real. Typically, a real gun is loaded with a real bullet and fired at any number of objects, but in a controlled environment. Those interested in performing this trick should realize that the magic bullet trick does not involve firing a live round at the illusionist; doing so will result in severe injury, death and/or legal problems with the law enforcement community.
To set up the trick, the gun is proved to be real in any number of ways, but the ultimate result is that the audience should be convinced that the gun and bullet are in fact authentic. The illusionist then asks an audience member to mark the tip of the bullet so that it can be identified later; for the trick to work, it is imperative that the bullet be marked with an implement provided by the illusionist. The provision of the marker can be explained away as being convenient, since most audience members will not have such markers on them. A permanent marker will suffice.
The operator of the firearm (the shooter) should never come in contact with the illusionist at all, to prove that no transfer of a bullet has been made. An object, such as an apple or a pane of glass, is set between the shooter and the illusionist, to prove the bullet has in fact been fired and has struck an object before "hitting" the illusionist. To add theatric flair, the illusionist may collapse--presumably from the stress of catching such a high-velocity object. Famous magicians Penn and Teller use guns equipped with laser sights to add to the suspense.
The trick behind the magic bullet is so simple, it may not prove to be complicated enough for skeptical audiences. However, a marked bullet (without the cartridge) is hidden in the sleeve or mouth of the performer before the trick starts. The markings will prove similar if the illusionist asked the audience member for a specific mark (an X, or a line, for example). When the illusionist doubles over pretending to be shot, they will simply spit or drop the bullet into a plate, revealing the bullet was "caught." A stage blood capsule and a fake set of "missing teeth" may be used for dramatic effect if the bullet is "caught" in the mouth to illustrate the idea that the illusionist was in fact struck.
To break the glass or object that "proves" the bullet passed through the air, some use wax or clay bullets that actually hit the object and break apart sufficiently not to cause harm to the illusionist. Otherwise, a squib--used in movies to make "bullet holes" in walls--can be placed somewhere in the frame of glass (or through a hole in the bottom of the apple) and electrically fired at the moment the guns go off. Since powder blanks can be used, the sound of the guns seems authentic, along with muzzle blast, and the sound of the blanks--if timed correctly--will mask the sound of the squib firing.
Magicians Penn and Teller sometimes use bulletproof vests to add to the effect, slid over their heads. While this is not traditionally the method for putting on such a vest, it could be used to conceal the bullet in an inner pouch, allowing Penn or Teller to insert the "caught" bullet into their mouths in a nonchalant and seemingly innocent motion.