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In Star Trek First Contact, Data and Picard come under automatic weapon fire from Lily. Data comments "Captain, I believe I can handle this," and he drops down to Lily's level of the missile silo, taking several close range bullets after landing. The bullets don't faze Data in the slightest, aside from looking at his clothing now riddled with holes.

During the series, however, it is never suggest that Data was bullet proof. There is even a time when he is shot with an arrow, which pierces his body and damages a secondary processor. The arrow not withstanding, if Data had been bullet proof all along then there was more than one occasion when he should not have been held at bay by someone with a gun (The Big Goodbye and Time's Arrow: Part 2, for example).

Is it ever revealed when Data was upgraded to be bullet proof, or if he had been bullet proof all along?

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I have a minor nitpick here: It is never stated that Data is bulletproof. As it looks like the bullets penetrate Data and, most likely, also did damage. It's just not enough. –  Bobby Jan 15 '13 at 18:01
    
Maybe he meant not that he could handle getting shot, but that he felt confident he could anticipate her targeting, and avoid most if not all of her shots. –  eidylon Jan 15 '13 at 18:12
    
@Bobby Fair enough (I mentioned "resistant" in the title). –  Xantec Jan 15 '13 at 18:18
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Easy: When Starfleet started issuing Plot Armor to andriods. –  Iszi Jan 15 '13 at 19:36
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In Thine Own Self, he gets stabbed through the back with a spear, which disables him. And that's just a spear being wielded by an ordinary man, not fired at bullet-velocity. And you can't blame that one on Q. –  Darrel Hoffman Jan 6 at 3:52
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Unfortunately, bullets, knives, and arrows are a bit like apples, oranges, and lemons when it comes to comparing them in this way.

The majority of bullet-proof vests are lousy against knives. In fact you will find that bullet-proof vests are one kind of body armor, whereas stab-proof vests are another.

Kevlar and nylon are commonly used in bulletproof vests. Without getting too technical - these are fabrics. Tight-woven, metallic fabrics yes, but still they operate on the principle that they can take a bullet and slow down its impact over time and area. A knife - which comes in slower than a bullet, much much slower in fact - can move between the threads of the fabric and meet the target. Stab-proof vests are different entirely; they're thicker and sometimes have protective plating, and they owe their design more to chain or plate mail than bullet resistant vests. On a smaller scale, the practice of using mail gloves as hand protection in professional kitchens and/or butcher shops - an environment where you find an awful lot of knives, in other words - is still practiced.

So really, these are all very different kinds of impact that are best deflected in different ways. It isn't a linear progression from arrow to knife to bullet; just because times have changed and firearms are theoretically more advanced than bows and arrows, does not mean that they are more effective in every given situation. To put it another way - it isn't an RPG, moving from bows to bullets is not strictly "leveling up".

It is entirely sound, therefore, that Data can and has sustained penetration damage from held weapons and arrows, but bullets are significantly less threatening to him.

EDIT: Assuming none of the players involved are fabricating any materials or saying something is what it is not, observe this 50lb longbow penetrating modern bullet resistant technology:

So consider Data's structure. According to Memory Alpha, Data is made of the following:

  • bioplast (his skin)
  • tri-polymers (polymers used in - dun dun dun - fabrics commonly)
  • polyalloys (his supports or 'bones').

To hazard a guess - the polymers act as (or simply mock) musculature. The skin is probably useless as a protective layer, and it's shown to be porous under magnification and can be scraped off by glancing blows from a pickaxe. The polyalloy frame would absorb raw impact (per The Chase) however his actual skull is made of duranium (starships are made of duranium). His body, probably being mostly that tight-woven fabric-like tripolymer, would then be fairly catagorized as a substance that is built to resist bullets, but predictably buckles under piercing weaponry.

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A lot of bulletproof materials work by tackling the "spin" of a bullet - hence not working against arrows (where the spin less important) and knives. In fact a well made bodkin from a medieval longbow could often penetrate mail. –  Dan Kelly yesterday
    
It's true, there are results and reproductions all over the place. Enough, IMHO, to pretty easily say that Data's relative level of vulnerability is not inconsistent - imaginary but not inconsistent. It is not beyond possibility that arrows and pickaxes can penetrate him, but bullets possess little-to-no threat. –  Stick yesterday
    
+1 for the video, but the vest seems to have dropped the damage level from "Possibly lethal" to "Definitely non-lethal"; a much narrower difference between bullets and arrows than the rest of your answer implied. –  Dacio yesterday
    
The fact is we need to know more about the arrow, the bow, and what Data is actually made of to make an accurate assumption. The video has a 50lb longbow; what's Troi's? What is that arrow made of? Hell, what does Data even feel like? He's coated in bioplast (his skin), has a layer of tri-polymers (polymers used in - dun dun dun - fabrics commonly) and his frame is various polyalloys (his supports or 'bones'). He probably feels 'life-like', then - the fabric-like polymers being his musculature. So if it stops bullets but not arrows/pickaxes, it would track with real life somewhat. –  Stick yesterday
    
In fact I'll add that to my explain. I think it is worthwhile. –  Stick yesterday
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This seems obvious but the in universe explanation is that it must have happened 'off screen' after the end of the previous movie but before the movie begins. Some of the other characters underwent changes such as Geordi's new eyes so it's not unreasonable to assume that Data made some self modifications too. However there's nothing written down in canon that I'm aware of.

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Isn't Data made out of crazy futuristic metal alloys? Hence his super strength and ability to break through solid surfaces, Doesn't he head butt a klingon and say hes made out of some super alloy? I'm pretty sure he was always some what bullet proof, as for Time's Arrow he was sent back in time and couldn't exactly tell people he was from the future and when he is with the rest of the crew he has to stand down to guns because if Bullets went off it could injure everyone else around him. (The Big Goodbye) I'm sure he had his weak spots, like where the arrow landed or maybe that was a mistake on the writers part before they fully developed the Data character.

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