I have used a .22 rifle to hunt squirrel for a long time, and used to wonder the same thing. I was a long way into the woods, but still worried. I recently watched the John Stossel piece on 20/20 about myths. Of particular interest was the old one that said if you dropped a penny off of the Empire State building, it could kill a pedestrian. This is untrue, and since a .22 weighs about the same, I quit worrying. With the trajectory shooting upward into the trees, I'd say it shouldn't be any different.
You're right about the mess, too. A head and a tail aren't much use. A shotgun can pretty much ruin anything in between.