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There are many different ways.

There are the guns themselves, which you can approach from a mechanical hobbyist standpoint, like either making them or modifying them. Or you can approach it from a design standpoint, like people who do cerakoting or rattle-canning (spray painting), or of course with different styled components.

There is ammunition, which you can load yourself in order to e.g. get different flight profiles for the same caliber rounds, by changing the weight (grain) of the projectile or by changing the powder load. You can also do this very manually (handloading), or you can use progressive presses to set up essentially a miniature (semi)automated production line, and that is a whole endeavor all on its own. Most of the top long-range competition shooters handload their rounds to best match their rifles.

Then there is the shooting itself, which also has many different totally separate areas of specialization:

Hunting, bench-rest shooting, PRS (precision rifle series/shooting, i.e. long-range), action shooting(in those Instagram videos of Keanu Reeves training for his John Wick role, he was doing action shooting courses), cowboy action (like shooting a target course with revolvers or lever-action, sometimes even while you ride a horse), 3-gun (rifle, pistol, shotgun), trap/skeet shotgun shooting (the thing in shows where they shout "pull!", and launch a clay pigeon)... There's probably even more I'm forgetting, but each of them are very different, and basically their own whole hobbies and communities.