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From Mythbusters annotated:

For the first time ever, they deemed this one busted, plausible, and confirmed. All of their tests, from the pig's head to the 9mm firing to the balloon, showed that a bullet fired perfectly straight up into the air is not lethal. However, it is also very difficult to shoot perfectly straight up into the air and, with the cases cited by Dr. Mohler, they have confirmed that people have died from bullets falling from the sky.

I hate people shooting in the air but I grew up around folks that did but there was one difference from most of the problem cases: they almost all fired birdshot from a shotgun and it was in rural areas with "safe" directions. Given the spread and energy involved I'm not surprised we never heard of anyone getting hurt or any damage. Far cry from firing rifles or pistols in urban/suburban areas.