I remember learning this at some point (I have no idea where/when) that as the war neared its end, the Southern troops were essentially out of bullets (minie balls?) and they'd make them out of wood, or possibly also rocks. If someone was hit with one of these, it would explode and splinter, and be a real nightmare for whomever was hit. Did this actually happen?
No. Despite running perilously low at times, the Confederacy was remarkably adept (given its limitations) at producing sufficient munitions to keep its armies fighting. What they lacked the ability to produce domestically, they brought in through the blockade.
Consider that at the start of the Civil War, the Confederacy lacked the ability to produce gunpowder in significant quantities. Before the war, southerners had imported most of their powder, most notably from the DuPont mill in Delaware. In September 1861, the Confederacy began work on a vast powderworks which stretched for two miles along the bank of the Augusta Canal in Augusta, Georgia. Seven months later, it began to produce powder, and at its peak, was pumping out 7,000 pounds a day.
Large quantities of raw lead for casting bullets, as well as saltpeter for making powder, were shipped through the blockade from England. In addition, vast numbers of ready-made paper cartridges were brought in as well.