There are two on 105 in Conroe proper. One was pretty high-falutin' country-club looking with separate trap, skeet, and sporting clays ranges. had a fancy restaurant/club facility, too.
There's a sign for another one, maybe half mile north of the other (both are on the east--lake--side of 105).
Used to be an interesting range on an old drive-in there in Huntsville; but it was closed the one time I tried to use it, back about '88-89
Ok, Uncle Google says one is Thunder; the other is Shooter's Station; there's also Conroe Shooting Center.
Able Ammo may have a range in Huntsville. Possum Walk Ranch has a range in Huntsville.