Just a couple of instances from Napoleonic times.
First from KIncaid of the Rifles:
Among other things carried from Ciudad Rodrigo, one of our men had the misfortune to carry his death in his hands, under the mistaken shape of amusement. He thought that it was a cannon-ball, and took it for the purpose of playing at the game of nine-holes, but it happened to be a live shell. In rolling it along it went over a bed of burning ashes, and ignited without his observing it. Just as he had got it between his legs, and was in the act of discharging it a second time, it exploded, and nearly blew him to pieces.
and -
There was a little spaniel belonging to one of our officers running about the whole time, barking at the balls, and I saw him once smelling at a live shell, which exploded in his face without hurting him.
From Mercer of the RHA -
Whilst in position on the right of the second line, I had reproved some of my men for lying down when shells fell near them until they burst. Now my turn came. A shell, with a long fuse, came slop into the mud at my feet, and there lay fizzing and flaring to my infinite discomfiture. After what I had said on the subject, I felt that I must act up to my own words, and, accordingly, there I stood, endeavouring to look quite composed until the cursed thing burst—and, strange to say, without injuring me, though so near. The effect on my men was good.