There is the Belleville Shooting Range (Name has changed, but it's still there) about 2 blocks north of the fountain on 159. A bit steep on shooting prices for members.
The Highland Gun Club has a pretty nice set up and about half the cost of the Caseyville Pistol and Rifle. It's going to be about a 35 minute drive from O'Fallon. I plan on joining in the near future. You also don't need to be a member to shoot if you want to go and take a look.