Perhaps the Borg sacrifice the first few drones in order to gauge the strength of their potential newest assimilatees. It is obvious that they have no concept of the individual, so sacrificing a few drones to test the waters doesn't seem that big of a deal to them. Also, it seems as if they do possess some sort of superior strength. Just about every hand to hand encounter we see, they go tossing someone aside or bitch slapping someone unconscious. The only one to really seem to fair well against them, physically, was Data.
AS to the bullet and sword thing, don't have a clue. I suppose if something was fired at them with enough kinetic energy, it would have some sort of effect even if the shields did stop it.