What does FMJ really do?

The attachment FMJ (full metal jacket) is an attachment used when sniping. Most gamers prefer this attachment but what does it really do? FMJ is said to make your bullets more powerful and damaging through surfaces such as walls. However, watching some YouTube clips on it, FMJ only really works when you are shooting through a wall. Otherwise, it will take the same amount of bullets to kill someone with or without FMJ.