So last year I wrote about the Mercury bullets myth...
Wwell, I'm watching the discovery show Weaponology, and I just had an evil thought; what about a sintered or bonded metallic shotgun slug, made of thermite?
You'd have to have a core of magnesium and barium (or some other easily ignited priming or tracer compound), with thermite sintered around it, with the aid of an easily ignited propagating binder (I can think of half a dozen right now), and probably sintered INTO a thick jacket so the thermite wouldn't break up on impact... Or maybe just have a cast shell of magnesium...
...but I think it'd be doable... and I'm pretty sure it wouldn't be a destructive device. I'm just not sure how well it would work.
Thermite is actually REALLY hard to ignite. Once it gets going, pretty much nothing can put it out, but I'm not sure the priming/tracer compound igniter concept would work. Also, 40mm thermite grenades work great, but they're a LOT bigger than a 12ga slug. Thermite is actually quite bulky, and it takes a fair bit to do the job; I'm not sure if the 2oz or so you could put into a 12ga shell would even be worth trying.
...but it makes me want to experiment... thermite is easy and cheap to make (united nuclear is your friend, if you don't have a local supplier). 'course I don't have the tooling necessary to sinter or cast slugs, but still....