Once I can afford it, the wife says I can....
In Colorado, only an outdoor range. In AZ, I have seen 3, and man was I envious!!!!
At the risk of getting the repost police all panty-knotted, this bears reading again if planning on shooting indoors with less than adequate ventilation:
http://dfuse.us/lead.html
My uncle, who lived in a regular neighborhood, albeit with large lots, had one in his backyard. He simply dug a hole large enough to stand up in (it was about 4' x 4' square and about 7' deep) and then had a shallower trench dug stretching across the backyard to a similar box (but not as deep) with a fabricated, heavy steel lead catcher in it. The entire thing was lined in cinder blocks and sound deadening material. Each end had a trap door to enter and/or replace the target. Ventilation was two fans to force the flow from the shooter to the target. The entire thing was about 100' long.
He mainly used it for testing new loads where he was more interested in getting the data off the chrono instead of real world shooting (wind, sun, dust, etc). With both lids closed and the fan running, it was pretty quiet (there was about 1' of dirt over the lane) but you could still hear it. A shooter would probably recognize the report but unless they knew it was there, the setting (a neighborhood) would probably lull them into disregarding as anything other than a gunshot.