I did a search of kinetic energy vs momentum and could't find a decent explanation of the difference in layman's terms. Then I found this which really addresses our issues and is funny!
A Thought Experiment:
Suppose that you were captured by an evil physicist who gave you the following choice:
You must either:
Stand in front of a 1000 kg truck moving at 1 m/s, or
Stand in front of a 1 kg meatball moving at 1000 m/s.
What's your choice?
Hopefully, you picked the truck! It's a big truck, but it is moving rather slowly (about walking speed), so assuming you don't fall down when it hits you (That would be bad...) the truck is just going to bump into you and move you out of the way.
The question of how much an arrow will penetrate begins where your thought experiment ends, and for accuracy the two objects should have the same dimensions. After the collision the massive object will push you a hundred feet or so, but the less massive one is going to bounce off of your body (more so than the massive one).
Consider a .015kg projectile (about the mass of a soda can) moving at the speed of sound (340 m/s), and another identical projectile With the exception of its mass, which we will make .25kg ( less than 2/3 of the mass of a full can), moving at 83.3 m/s. both objects have the same kinetic energy (867 joules) but their momenta differ quite a lot (the more massive object has about 4x the momentum).
Now if we consider this as though we are actually shooting the cans, and you were hit with the lighter can you would get a nasty bruise and lacerations, as the can shatters against your body, and probably the air knocked out of you, but in the end you'd be pretty healthy.
But if it were the more massive object, you would be lucky to get away with a few broken ribs after being knocked back several feet.
Or you can make these objects about the size of a .22 and fire them into a wood block, you would find the more massive object penetrated about 4x as deep (assuming it doesn't shatter, etc.)
As far as distance is concerned, a faster arrow will always go further
Remember that momentum is literally a measurement of the quantity of motion, whereas kinetic energy is the capacity to do work.