Can projectiles pass through enemies?

If yes, what weapons allow this? How does the damage work? Will the impact on the first enemy hit by the projectile, lessen damage to the second enemy hit?

This is so I'll know if it's worth it to position myself so I could hit enemies in situations like this:

No, bullets do not pass through enemies. To my knowledge, no special weapon effect (red text) does it either.

That's Borderlands, though. Can't say anything about Borderlands 2.

As a side note, some special weapon effects cause bullets to ricochet, but trying to aim with that effect in mind is probably more trouble than it's worth. There's also splash damage from explosions, and elemental effects might spread to nearby enemies even if they have not been hit by a bullet.