One just inside 635 on the west bound service road. Cannot remember the name right now. But if you exit just before 635 and stay on the service road you will see it shortly after passing 635.
Not the closest, but Target Master in Garland on Jupiter just north of 635 is a good one. There was supposedly one being put up near Caddo Mills but I don;t know any more about it.
There is Gun Zone in Mesquite but I have never been there.