In the last two years, I've personally fired an estimated 7,000 pistol and rifle rounds at steel, and been on the line while another 30,000+ (probably closer to 50k) were fired by others.
Here are my observations -
FMJ, HP, SP doesn't matter. Jacket and core composition does. Bimetal (steel) jacket tends to hold together better and retain more energy. Steel core is a big no-no. Steel cores do not disintegrate like lead and copper (rifle projectiles) do and do not pancake like lead and copper (pistol rounds). Shooting steel core is potentially bad for the target, and worse for the shooter.
Low velocity hard cast lead projectiles also tend to retain all of their weight (flatten, but not disintegrate) on hitting targets. This is not a problem unless you are ignoring manufacturer recommendations for safe distance. Just because you've reduced total energy and velocity, it doesn't mean you can reduce the safe distance.
Target material matters. A mild steel target will stop pistol rounds, if sufficiently thick. The surface will rough up with use and those rough spots will cause unpredictable patterns to dispersal of bullet fragments. Rifle rounds will pit and penetrate mild steel, even 300 yards plus. If you are going to ignore all the advice out there on not using mild steel targets, at least be smart enough to not use pistols on a target with a rough or pitted surface.
Shooting at rocks angers the gods, and they will be inclined to shoot back at you with chunks of your own bullets.
Minimum recommended distances exist for a reason. The distances vary based on manufacturer, club, and organization, but there is a general consensus of 10-15 yard minimum for pistols, and 85-150 yards for most rifles.
MOA Targets recommends no less than 12 yards for pistols, and 100 yards for non-magnum and non-varmint rifle. Distances for shotguns are less commonly stated, MOA recommends 12 yards for birdshot, 20 for buckshot, 50 for slugs.
Never use steel shot, bimetal jacket, steel core, AP, tracer, or incendiary projectiles on a steel target, no matter how cool it looks.
Always angle your target with the top towards the shooter, with a total angle of 10-25*. This angle should be measured from the shooter's perspective, not the ground, as we rarely shoot on flat ground.
Please, be safe, enjoy your day shooting, and try to apply some common sense when selecting targets.