Myth Busters covered the bullet as a fuse deal. While the .22 works great as a fuse it took a major short in the system to get the bullet to set off. Even then out of several dozen attempts their dummy managed to get hit in the lower abdomen area only once with enough material and force to break the skin. Their conclusion was that while it is possible, the chances of it actually happening was extremely rare.
They also did research on the story and found that it's just another urban legend.