point blank or even closer. That's when the bullet is at highest velocity and hence most energy. You could make the argument that farther out would be more lethal if the bullet starts tumbling.
That's certainly the case with the .223/5.56 in common infantry loads. Ditto with the AK-74 5.45/39mm round the Soviets used commonly in Afghanistan. They tumble at medium distances, causing them to travel wildly in the body.
The Mujahadeen called it the 'poison bullet' for that effect.
EDIT : Reference info
"The 5.45 mm bullet yaws when striking a soft target such as a human, causing the bullet to tumble. This tumbling creates a larger wound in the target than the bullet's diameter. The Afghans who fought the Soviet Union often referred to the 5.45 mm as "the poison bullet" because of the severity of the wound in proportion to its relative size and energy. Reports from Afghanistan suggested that the new bullet might violate international conventions on rifle ammunition; however, international conventions prohibit only exploding, poison, and expanding bullets. It was suggested that the bullet's radical design would create inhumane wounds. This complaint was also made about 5.56 x 45 mm NATO ammunition for the M16, which not only yaws in the flesh, but routinely fragments. No sanctions or prohibitions have been levied on either design. "
from :
http://guns.wikia.com/wiki/Kalashnikov_AK-74
As to the OP, yeah the actual bullet energy potential only decreases with distance, but in cases like Spidey brought up, this can actually be more lethal in certain conditions.