I've had it both ways. First deer I shot was close to a front leg. When he ran, the motion of the leg moving the arrow back and forth did some damage. The arrow sticking out the side also hit a tree. You do have the potential to do more damage this way but it is a dumb way to go about it.

Look at it this way. How do you tune your equipment so the arrow penetrates just enough but doesn't pass through? I'd rather have enough power to break through stuff if I make a bad shot and hit heavy bone.