I'm not entirely sure how drilling tiny holes into bullets will make them quieter, more accurate, and into rockets, but some Italian company says that's what they've done. It's just too bad that James Bond's done it already.
These bullets with holes punched into them supposedly take some of the propellant gas and use it to "lubricate" the bullet, reducing muzzle flash, smoke, friction, noise, and some sort of "rocket effect" (I'm quoting here) that both increases the velocity of the bullet and decreases the kick of the gun, which seems vaguely impossible. So I dunno about all this, but they do look pretty cool, and being able to tell people that you're firing rocket bullets might be worth the price anyway.
If you're familiar with James Bond (the real Sean Connery James Bond, not one of those other foofy wannabe dudes), you might recognize the rocket bullet from You Only Live Twice. It's not just a Bond weapon, though: it's a real gun called the Gyrojet, and yeah, it totally fires real rocket bullets.
First deployed in the 1960s, the Gyrojet fired miniature rocket rounds with a caliber of approximately .50, similar in size to bullets fired out of a heavy machine gun. However, since the Gyrojet rounds were honest-to-goodness rockets, there was virtually no recoil: after the trigger was pulled, the bullet just sort of lazily popped out of the barrel of the gun at about 20 feet per second, before its rocket engine fully kicked in and powered it up to about Mach 1 within 25 yards. At that point, the rocket had about 50% more energy than a .45 caliber traditional bullet. Since the bullets used solid fuel propellant, they also worked underwater (sort of), and were under consideration to be fielded in space.
While the Gyrojet was a great idea, in practice, it didn't work out so well. Ammunition was expensive and unreliable, and the gun was difficult to reload. The barrel had no rifling in it, and although the rocket bullets were spin-stabilized, accuracy was not great. Also, the absurdly low muzzle velocity meant that someone could sticky their finger down the barrel of the gun and stop the round from exiting, which is not a great characteristic to have in a weapon that's supposed to be designed for close-range.
You can still find these Gyrojets around, although the guns themselves will cost you about $1,000, and the ammo costs $100 per round. All things considered, those regular bullets with the little holes in them are probably a better deal, even if they're way less cool.