.25cal Penetration: JSB 25.4 vs 33.95

Heavier pellet may give deeper penetration but harder pellet is more likely to penetrate deeper. Crossman premier domes and HP are harder than JSBs. Keep in mind a harder or heavier pellet that penetrates more but leaves a very narrow wound channel and does not hit vital areas could be less effective than a softer lighter pellet that expands and creates larger wound channel and dissipates all energy within the animal. The key point is you will be effective with both if the placement is right. 
 
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I do not consider myself a ballistics expert by any means, but Grin Reaver's explanation is very close to reality. But...

Internal and external ballistics are well know sciences. Terminal ballistics (what happens when the pellet hits something like flesh and/or bone), isn't as well know or understood. And what we really don't know, is the Rockwell hardness of most pellets. Even if we did, I suspect it changes depending on the batch number. After all, the vast majority of the lead used to make pellets, is from recycled sources.