South Bay Rod and Gun Club in Dulzura (highway 94 south out of El Cajon). The Fish and Game department used to have a range in El Cajon - don't know if it still exists.
There is a lot of BLM land along the border where it is legal to shoot. Just make sure you have a good map, and be nice to the Border Patrol guys that will show up.
The "range" off Kitchen Creek road (I-8 east) was closed some time ago, but there were rumors of it reopening. My understanding is that it is BLM land, but the Forest Service closed it due to litter problems.
I used to shoot (3 years ago) just east of Brown Field (by Chula Vista). It was ten minutes from my house, on BLM land, and completely legal. Just make sure you clean up your mess.