Well... what i can tell you is that ALMOST all guns can shoot through walls. Pay attention to the fact that when the bullet goes through the wall, its "impact strenght" and its speed decreses. In other words, if you know there's a enemy behind a wall, if you start shooting at the wall, depending on her thickness, you will have to shoot a few more bullets to kill him. With the perk deep impact, it may only take two or three shots to kill him through the wall. Deep impact increases the damage of bullets going through the wall. Like i said NOT every weapon can shoot through walls, but the ones that can, have their damage decreased since their are penetrating a wall.
For tips in how to shoot trought a wall, i advice the reading of the following tips: