Do lasers weapons pass through any obstacles?

When I think of laser weapons, I think of how deadly it is. But I could never figure whether these lasers are able to go straight through or just stop when it hit something like a bullet.

I know laser weapons like one in Dune is use to penetrate any obstacle but what about general weapon like one in Warhammer 40k, do they go through the target or the laser itself stop at the target?