I work in the xray dept of a fairly large hospital and get to see first hand what various types of bullets and shotgun pellets can do to a person. A .22 bullet will usually not exit and can deflect into another part of the body upon striking bone. And they are small enough to enter major arteries and veins and travel to the heart or lungs. Bad news! When someone is struck in the skull, the bullet usually doesn't exit, but rather "rattles around" a bit before stopping somewhere in the brain. I have seen this one first hand in autopsy xrays I have taken of suicide victims.
Richard,
As to your question, if there is a foreign body logded in you but isn't causing any problems, they will usually leave it alone. Going in after it may cause more problems than it solves. For instance, risk of infection, nerve damage, etc. I actually saw an old xray of a guy who was holding a live .22 round in his mouth and accidentally inhaled it. It ended up settling near the bottom of the left lobe of his left lung. In this case, they chose to leave alone instead of tearing up lung tissue trying to retrieve it.
Kyle