My arrows have always been able to pass through hay bales sometimes, especially hitting the gap between them when they're stacked. To be fair, though, it has been a very long time since I've shot less than 60# draw weight, so perhaps a lighter bow will not have that problem.

Currently, my setup for shooting in the backyard (towards woods, incidentally) is a backstop net and blunts. It's a higher initial investment, but it is safer (larger target area, zero chance of passthrough) and will not require replacement for a very long time.