For most we don't see it even hitting them, but there is one shot of Raph taking bullets in both the thinner (and should be more vulnerable?) plastron AND his flesh I think, with, if I recall, a slow motion view of them coming back out of him. Pretty disturbing stuff right there.
edit: Here, I went looking for a gif, I'm not going to re-suffer this nightmare alone. (Okay I guess it wasn't slow motion, maybe a trailer was.)
Also found images. Raph is... made of tire rubber?
Whose idea was that, because it's just all kinds of creepy wrongness. And looks like two or three in his arms. Pardon me while I throw up.