I have a very strict interpretation of the first precept and I don't think I would ever own a gun for the purpose of self-protection because it would be too likely that I might kill someone.
I don't think there's anything wrong with target shooting so long as it isn't in preparation for any other type of shooting that might harm, or if it leads to any kind of violent urge. I've seen a few people who target shoot get a little too into it and it doesn't seem to be good for them. On the other hand, many people like to, as Ben said, treat it as a meditative exercise.
My "policy" I guess would be that it's okay for sport but not for protection. I would try my hardest to get a sport rifle or pistol from a company that did not produce other weapons as well, in order to make sure I wasn't inadvertently taking part in the trading of weapons made for killing.
Gain and loss, status and disgrace,
censure and praise, pleasure and pain:
these conditions among human beings are inconstant,
impermanent, subject to change.
Knowing this, the wise person, mindful,
ponders these changing conditions.
Desirable things don’t charm the mind,
undesirable ones bring no resistance.
His welcoming and rebelling are scattered,
gone to their end,
do not exist.
- Lokavipatti Sutta