Depends on which range I'm at, and what my purpose is in being there.
Most public ranges in my area have a paper target only rule for the standard ranges (specialty ranges vary). If I'm just out in the desert plinking into a hillside, I use targets that remain more or less intact, so I can clean the mess up before I leave. Plastic water jugs filled with water work well. They explode fairly spectacularly, but don't leave an unsightly mess behind when you leave.