When they're not on the set, some Hollywood stars like to go to the gun range and fire off a few rounds. The Beverly Hills Gun Club, owned by Sylvester Stallone and security expert Arthur Kassel, attracts actors who shoot in preparation for roles, for protection or just for fun. Among those who step up to the firing line are Bruce Willis, Susan Sarandon, Charlie Sheen, Geena Davis, Arsenio Hall, Sean Penn, Jermaine Jackson, Rebecca De Mornay and George Peppard, according to Premiere magazine. Jamie Lee Curtis, who played a quick-draw cop in "Blue Steel," is such a good shot that one of her silhouette targets on which she had six bull's eyes in 10 shots is on display at the club. "That's good shooting by anyone's standards," says shooting range master Craig Cox.