I think you may be expecting a bit too much from a bump map, it creates an illusion of bumps/scratches/wrinkles whatever, it doesn't change the model in any way, it doesn't cast shadows, can't see it in a silhouette, so it can only appear so deep before it starts looking ridiculous. Displacement maps (grayscale images just like bump maps) do all of the above but of course they are heavier to render. Among other things, Zbrush lets you export this kind of map after you finished sculpting away.