@ Maxsim: No, not really. Fish are much smaller, first of all, so a shockwave that we wouldn't even feel would be significant to them. Plus, they have really sensitive organs that help them stay upright in the water. Big boom=those sensitive organs are wrecked, and they die of shock/whatever.
Of course, a human would die if you shot at him with a 16" from an Iowa class battleship, but I don't think a shockwave would be the most worrysome thing to the person...
For the elephants myth, I don't think mythbusters actually understood how smart these elephants are. For example:
http://www.somethingawful.com/d/comedy-goldmine/tales-from-zoo-4.php?page=5So there's the possibility of the elephants not wanting to step on and kill the mouse, and not being scared of it. So could they try some rabbits, or some bigger/other animals?
Or the white color of the mouse might startle it. They need to try some field mice. The Mythbusters really bungled this one up.