Yes, I would argue that the bullet that keeps on going would do more damage, because It would make a bigger hole. The bigger hole would mean more damage. Basic Physics can tell you that the energy being "dumped" from a handgun round is very little, around that of being punched really hard. It is my personal belief that big wound channels are the most important factor in stopping a human target.
http://www.seark.net/~jlove/handgun_wounding.htm