Perhaps the best physical evidence to disprove the lone-nut theory of the assassination is Warren Commission Exhibit 399, the so-called "magic bullet." Magic because it supposedly did what no other bullet in history has done. This is the bullet that the Warren Commission claimed struck JFK in the back, exited his neck, made a sharp right turn and then a left turn in mid-air, entered John Connally who was sitting in front of JFK in the death car, broke Connally's rib, fractured his wrist, and landed in his thigh. This bullet was discovered in a pristine state on a stretcher in Parkland Hospital. Among all fairy tales woven by the Warren Commission, the story of the magic bullet is the most laughable. It was born of necessity, because examination of the Zapruder film indicated that Oswald had time for only three shots, and two of them--the one that missed and the one that exploded JFK's head--were already accounted for. This meant that for Oswald alone to have done the shooting, one bullet had to account for all the other wounds on JFK and Connally. And by god, the Commission jammed that square peg into a round hole as hard as it could.
Two things to remember here: 1) The bullet fragments removed from Connally by Parkland doctors exceeded the amount of lead missing from the magic bullet; the Warren Commission knew this but did not let the facts get in the way of a good story. 2) The Warren Commission dismissed Dr. Malcolm Perry's report that JFK's neck wound was caused by a bullet's entrance, not exit. Bullet entry wounds are small, neat and round. That's exactly the type of wound Perry saw when he first tended to the President.
Finally there is this from author Walt Brown in his book Treachery In Dallas: "...CE 399, a jacketed military bullet, did massive damage to two individuals and emerged pristine...yet a second bullet from the same gun [supposedly] came apart into dozens of dustlike fragments in the president's skull. How?"