Roman arrowheads often had 3 barbs rather than the usual two. I imagine this was done in a lot of other places. Imagine getting hit with that shit and having to have it removed. I'd rather take a bullet any day.
Depends on the bullet. A small caliber can easily rattle around off your bones and cause a lot more damage than a clean "in and out" wound (or one that stops in you without bouncing around). Imagine a piece of steel rattling around inside your chest at high speeds (or hell even your thigh...cross your fingers it doesn't hit an artery while it's pin-balling around)...
Or a high caliber can basically explode on the exit wound, creating a massive hole where it exits that is way larger than the hole that would be caused by pulling out a barbed arrow.