One of magician act Penn & Teller's favorite tricks is their Bullet Catch trick, you can see them perform their Bullet Catch on their Fool Us show (for as long as it lasts on YouTube).
After seeing some people inaccurately explain the trick I figured I'd post my belief of how the trick is done.
The trick is simple in design, two audience members come on stage, one for each magician to work with. Each audience member uniquely signs the jacket and projectile of a bullet and those bullets are supposedly fired by each magician across the stage to the other magician, with the bullet miraculously being caught in their teeth. The bullets and jackets are inspected by the audience members and the projectiles appear to have indeed crossed the stage. The trick is performed with the magicians' careful to explain that none of the participants nor any props ever cross the stage, making the firing of the guns appear the only method by which the bullets could be transferred.
But, it's a magic trick, so of course not everything is as it seems...
Now, revealing secrets of a magic trick might be a douche-y thing to do. I'm of mixed opinions. When a magician has put a tremendous amount of time and effort constructing a trick it seems rather cruel to have an audience, particularly in the age of infinite instant replays, deconstruct it. But, a) the bullet catch is a very old trick (beginning as early as the 1600s) and b) Penn & Teller's career has often involved divulging tricks and discussing publicly how tricks are performed. So it seems like discussing a trick of theirs is fair game.
Signed Projectile Never in the Gun
After inserting the bullets Penn & Teller let the members of the audience confirm that it is their bullet in the gun. But the magicians control the view. Look at the placement of the bullet, it is inserted far enough into the chamber that the view of the projectile is obscured. It is obscured because the signed projectile is no longer in the jacket, having been palmed and then secreted away. The jacket, the powder, and a wax projectile remains (a bit of wax is what breaks the glass).
Projectile Passed to Stage Hand
Getting the projectile to the other side is the central feat of the trick. And the first thing to note is that after Penn & Teller have loaded the guns they go and manipulate the bullet backstops. The backstops are positioned against the wall and at such an angle, this obscures the magicians' hands for a moment and would allow stage hands to take something from the magicians' hands without being observed.
The stage hands would then have ~16 seconds to run around from one side to the other and place the bullet such that the other magician could access it.
Along the way the stage hand would need to force the bullet through a manual contraption which adds the rifling grooves to the bullet (which Penn & Teller show the audience) and perhaps gets dusted with freshly burnt gun powder for added effect.
How the Bullet Gets into their Mouths
The bullet proof vests that Penn & Teller wear are initially hanging from the edge of the stage wall, again a very suggestive location, since a stage hand could easily access (part of) the vests without being observed by the audience. I believe that once the stand hand makes it to the other side he/she secures the bullet to inside top of the vest via a magnet (the bullet having been modified to have a steel core).
When Penn & Teller put the vests on over their head their mouths are obscured, and I believe they collect the bullets with their mouths and tuck them into their cheeks. Penn is talking while this is happening so clearly he does it very deftly, pausing in his speech in a purely normal manner as though between words.
And voila, the bullet has been transferred and the rest of the trick is relatively simple. A bullet with a wax projectile is fired with less than the normal amount of powder it breaks the glass pane the magicians have placed between them and the magicians relocate the projectile from the cheeks to their teeth.
Alternative theories I've read suggest that stage hands watching TV monitors reproduce the markings of the audience members, but I think Penn & Teller are a more sophisticated than that, and the method described above would allow the projectile to actually travel from one side to the other unseen.
Personally I think this is one of their weaker tricks, so I've been surprised to hear them describe it in such laudatory terms. Perhaps I have a bias against the trick because they really play up the greatly exaggerated danger aspect and that feels a bit cheap to me.