I would build/buy a huge compound in Arizona and then basically populate it with every NFA gun and device I could find, machine guns, destructive devices, flame throwers, definitely a few flame throwers, helicopters equipped with Dillon Mini guns. I think an underground bunker big enough to hold the worlds best gun collection in style (think like a Bond Villain) I would also build an ammo warehouse. I think with a few billion rounds of ammo?
Then, on to the range, I would construct outdoor and and indoor ranges like the world has never seen, the best, most innovative designers would have carte blanche to design shoot houses, street scenarios, long range sniper setups, CQB room clearing scenarios, plus all of the normal Trap, Skeet, Sporting Clays, handgun and rifle ranges. I think an explosive range where every target is an easily replaceable binary target would be pretty fun. Definitely a heavy gunnery range where one could shoot with RPGs, wire guided missiles, howitzers and tanks would be fun.
I would then construct the ultimate reloading facility with training facilities to instruct up to 50 students at a time in the fine art of reloading.