I was lucky enough to find some Bureau of Land Mgmt. land about an hour out of Monterey, California. I've got the documentation from the BLM saying shooting is fine there, provided it's legal firearms ("assualt weapons" aren't allowed). So it's a fun daytrip to pile some jarhead friends in a car and head up into the hills.
So far, the best targets have been the classic jugs of water, potatoes, watermelons, cantalope, a coconut, and this one cheap import guitar I just couldn't repair. The guitar was novel, but not overly interesting.
The coconut was great: a single 7.62 Communist slug produced a sharp crack and a spray of white flakes coating all the nearby targets.
Watermelons were cool to: a 5.56 round from my Contender just made it deflate down upon itself, no splatter outside, insides liquefied. A .44 slug cracks them in half, a .44 shell full of birdshot produces a nifty "fountain" effect.
Best of all, when I bolted a 16" 45-70 barrel onto my Contender (break action single-shot pistol). We didn't have sights on it yet since I just got the barrel the day before, so we tried our best shooting blind at 20 yards, randomly hurling 400 grainers downrange and destroying the area _around_ the target and beating the heck out of our hands. Then one guy steps up for his first shot, raises his hand without even sighting and hit it dead center. A watermelon is considerably smaller than the buffalo this cartridge was designed for. Chunks of watermelon flew literally twenty feet high. We actually found a shard of watermelon had a penetrated into a nearby cantalope. No joke: fruit shrapnel.
Check around to see if any BLM of Nat'l Park land, or any other federal/state land allows any hunting/shooting within a drive of your city. It can be a hell of a lot of fun to pick your own targets, ranges, and settups.