Absolutely. I would hesitate if I didn't have my own range just because I feel it is a bit of a safety hazzard for other shooters (i.e. if i can't hear my surroundings.) When I'm the only one around, I like to listen.
I love heavy metal when I'm shooting. Especially after a hard day at work. Really helps channel the energy and increases my focus, if you can believe that.
Chevelle has been my latest obsession. Although I'm all about Metallica, Black Sabbath, AC/DC, Iron Maiden, and Pink Floyd (I like old school).
Oh, and it doesn't get much better than Led Zeppelin.
I've listened to everything while shooting though. From Beethoven to Chingy to Hank Sr. I just prefer metal.