But it doesn't make much sense. When your character hits an enemy in the arm with low skill, and some hours later he hits the same kind of enemy in the same spot but with higher skill, why should he do more damage? It's still a gun and it's still a bullet, no amount of skill could increase the damage.
That's the RPG elements coming into play. It's a commonly misunderstood abstraction.
Absolutely, a bullet is a bullet - fired at the same range, it's going to leave pretty much the same sized hole in your body. But where that hole ends up can mean the difference between life and death. This is where your character's skill comes in. Just as in real life, a character with low skill is just happy to simply hit the same general area that they were aiming at. Whereas a character with high skill is not only aiming for the arm - they're looking to hit an artery or other critical area. Not to mention glancing blows and flesh wounds - a character with lower skill is more likely to make a shot that just glances off the edge of an enemy; as opposed to a more skilled character at least being more likely to hit the "meat" of what they're aiming for.
Take hunting, for instance. The aim is to kill in one shot, but the difference between doing so and simply wounding the animal is a matter of a couple of inches. The more skilled and experienced the hunter is, the more likely that his aim is going to be on-target.
Certainly, ideally, you should have at least a chance of making a lucky shot on occasion, regardless of your skill level. And I'm not entirely sure just what the mechanics involved in Fallout 3 are. But basically: a character with 20 in Small Guns shooting a Supermutant in the arm is not the same as someone with 100 skill shooting that same Supermutant in the arm - even though both shots are in the arm. (Because they're not hitting the same critical parts of that arm...)