I've only seen one guy hurt, and he did absolutely the wrong thing.
bolt action .22, mis-fired, so he tips it over to the left, and looks at the action as he ejects the round. it went off before the round was completely ejected.
the bullet and about 3/4 of the case were still in the action, the last little bit of foil/razor-blade, put a little slice in his forehead.
it bled a bit, but wasn't deep at all. I wiped the blood off and put some duct-tape on it, a couple days later you couldn't even see it.
Laz is right, the bullet has the mass to stay put, the case ruptures and frags, it's sharp and jagged but very light and not at all aerodynamic so it slows down to harmless in just a few yards.
what I've always done is to simply kick a divot out of the ground. eject the round (with the open action facing away from you and anybody you wouldn't like to see fragged), kick it into the hole, put the divot back in and step on it to pack it down.