Penn and Teller wrapped up a few shows on the east coast over the Memorial Day weekend, but the rabid audiences excited to see the Bad Boys of Magic did not get to witness their signature effect. The famous bullet catch, performed as the grand finale to their Vegas show did not make an appearance thanks to local gun laws.
A summary, from the horse's mouth (Penn's obviously, since he's the one who talks):
“You can’t do guns in Atlantic City,” Jillette lamented. “Even bribes couldn’t [help]. They get very jumpy about .357 Magnums in Atlantic City.”
Young says the duo encountered the same problem at the Foxwoods casino in Connecticut, and had to finish their act with a fire trick instead.