I was under the impression that the most common techniquoe for creating armour-piercing munitions was to use shaped-charges. While depleted uranium has it's uses (being, as someone said, rather dense), mass alone will not get through everything. A shaped charge will get through more things more violently :)

Depleted uranium is used in armor piercing rounds for three reasons: 1. High density 2. High hardness - not quite that of tungsten, but its up there. 3. Upon impact it ignites (like magnesium) and burns. The burning uranium melts steel and also produces uranium oxide in the process. If this isn't "violent" enough, try fission. Kirk