[Rupert]

It depends on the wall. An interior drystone wall probably has DR1. A brick or concrete exterior wall could have DR30+, while a timber exterior wall probably has DR2, at best.

It also depends where on the head you hit. A person's skull has DR2, and any penetrating damage is multiplied by x4. A hit to the eye with a bullet means no DR and the same damage multiplier. A hit to the face means no DR, but the damage multiplier is that of the attack (pi, pi+, etc.).

Thus at the low end we have an attack through an interior wall into the eye - DR1, needing 20 points of damage to force a death check (and thus 4 points of penetrating damage). This requires 1d+2 damage, and a .22 long rifle bullet fired from a rifle is sufficient.

At the high end we have a shot through a DR32 (4" thick) brick wall to the face, requiring ~52 points of damage if it's a pi attack, and thus 15d pi. As that's beyond a normal full-bore rifle (pi), let's look at pi+: 32 + 20 / 1.5 = 46 points -> 13d. Not much lower, so we'll check pi++: 32 + 20 / 2 = 42 -> 12d. Realistically you need an anti-tank rifle if you're shooting through that wall, or armour-piercing ammo and a skull/brain hit (7d(2) pi- for a 7.62x51mm APHC round gives ~30 points of damage if you hit the skull through that wall).

In conclusion - brick and concrete exterior walls are quite good cover. Interior walls are not.