MythBusters is a show on The Discovery Channel that aims to do exactly what the title says: prove or disprove myths. The two stars are Jamie Hyneman and Adam Savage. Both are geeky guys who like playing with things that blow up. This works perfectly for them as they get to work on their myths.
Their job is to figure out whether a myth is true or false based on experiments. I've heard that if you drop a penny from the top of a skyscraper, such as the Empire State Building or the Sears Tower, that it would go through someone's skull and kill them. To figure this out, they sat down and talked about their game plan. The first thing they did was figure out the terminal velocity of a penny. Because they can't drop it from the top of a building, Adam went skydiving and dropped pennies. While it didn't give them an exact velocity, it provided an idea. The result was that a penny's terminal velocity is slower than a human's. After their exciting experiement, they went to their lab to find the exact speed. By creating a tube with holes in it, they were able to figure out the terminal velocity was about 64 mph (IIRC).
They took out an artificial skull of a human and coated it with synthetic skin. By modifying a nailgun they managed to shoot a penny into a skull at 64mph. The penny didn't really go through the artificial skin which they coated the skull with. It also didn't damage concrete that much either. To prove their point, they even took penny shots to their hands. It hurt, but never broke through the skin. After the experiments, they said that it's a myth and not fact.
As you can probably see, they do a good job of confirming their results through testing on screen. Some other myths they work on include if a cell phone could blow up a gas station or if a bullet hole in the side of an airplane will cause the cabin to depressurize.
Currently, the show is on Friday at 9 p.m. ET/PT (with repeats Mondays at 6 p.m. and 7 p.m. ET/PT and Sundays at 4 p.m. ET/PT).