What bullets and arrows in Terraria can penetrate enemies?
In addition to the already mentioned Jester Arrow, your options for piercing arrows are Unholy Arrow(early/midgame), Chlorophyte Arrow(hardmode) and Luminite Arrow(hardmode).
For bullets you could use Meteor Shot(midgame) or Luminite Bullet(hardmode). There is also Candy Corn(hardmode) that can be used with the Candy Corn Rifle.