You can but it really depends on where you live and what your local police chief is like. Some towns like my town are very well armed, the only wierdness about it is that around the local lakes the police have signs posted asking people not to discharge firearm. Go figure.
Although it is illegal and costly to persue, most of the inner cities will deny applications for firearms, in all regards even target shooting. Massachusetts is still a very conserative state the closer you are to the capital.