You obviously haven't watched Myth Busters
Ha, I was just about to mention that too. Pretty conclusively busted this myth. And it was funny, they mentioned US Marshals specifically but said "other Hollywood movies" had been guilty of the same type of scene.
They didn't prove explosive decompression can't happen - of course it can (and has), as they showed at the end of the episode in a dramatic demonstration the one dude called "somewhat disturbing" - they just proved that it wouldn't happen by shooting a bullet through either the window or the skin of the airplane. The hole has to be bigger than that. Airplanes are built to be pressurized repeatedly so they're very tough - we have a tendency to think a plane's skin (or window) will shatter once it's weakened by a bullet hole, but apparently they're built tough enough that they won't. And a tiny bullet hole will not allow pressure to escape fast enough for decompression to occur.
I'm tired of being a wanna-be league bowler. I wanna be a league bowler!