Claim: During the Civil War, a woman was impregnated by sperm carried on a bullet that passed through the scrotum of a soldier and penetrated her ovaries.
Origins: Sometimes touted as the origin of the phrase "son of a gun," the apocryphal tale of "the bullet through the balls" is a well-traveled legend, often reported by such infamous urban legend vectors as "Dear Abby," as in this example from her 6 November 1982 column:
http://www.snopes.com/pregnant/bullet.asp