Pellets or slugs

Slugs generally are shaped like bullets, have much larger bearing surface (contact area with barrel), and require a decent amount of power to use. And a cooperative barrel.

Pellets shoot well in most all barrels. Though some pellet desigbs/profiles don't fare well at high speeds (or any speed, lol). Pellets have a very minimal bearing surface, and have a very thin skirt that seals air pressure behind the projectile, and also is used to drag stabilize. Pellets also lose velocity much faster due to this, and have poorer trajectory/energy retention at range. (sometimes this is a desirable trait) 
 
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I think the 'slug' name sort of stuck naturally. 'Pellet' already has a very specific meaning of waisted/skirted projectile for airguns. When airgun bullets started becoming a thing, well 'airgun bullets' is too long, and 'bullets' is far too tied to firearms and would be confusing. 'Slug' generally means 'bullet' but didn't come with the existing firearms-related baggage.