Hydrostatic shock

"Hydrostatic shock is the controversial concept that a penetrating projectile (such as a bullet) can produce a pressure wave that causes "remote neural damage", "subtle damage in neural tissues" and/or "rapid incapacitating effects" in living targets." - Wikipedia
"In analysis of experiments of dogs shot in the thigh they report highly significant (p < 0.01), easily detectable neural effects in the hypothalamus and hippocampus with energy transfer levels close to 550 ft⋅lbf (750 J)." - Wikipedia
Energy transfered from a bullet to human body can result in brain damage and ruptured organs. It takes about 50 joules to cause brain damage and 80 joules for 50% chance of brain damage.

Explosives

If an explosive goes off it releases a lot of energy depending on the energy density of the chemical used, flash powder for example has an energy density of about 9,200 J/g, dividing ~6,900 from joules and you would get the PSI. 40 PSI has a 50% chance of rupturing lungs.
Decibels are on a log scale, so 10dB is 10x less energy, 20dB is 100x less energy, etc. Being behind a wall would reduce 30dB (own data from decibel readers), therefor an explosive's energy would be divided by 1,000. Larger walls (like brick walls) can reduce decibels by about 40dB. 40 PSI / 1,000 = 0.04 PSI, which makes a huge difference to being next to an explosion.

ref: https://www.ncbi.nlm.nih.gov/books/NBK202251/table/tab_3_2/