Asheville can be expensive to live, very large 2nd home market in that area. They are also very 'Green' in that town, very hippy. Of course this is a generalization, not all housing and people are that way. But the mountains are very beautiful.
I currently live in Knoxville and love it. It has the best of all worlds. Mountains nearby, lakes, sports, relatively good shopping (so says the wife), good communities. I think you would really like Knoxville. But living here and being a UT grad, I may be biased.
Edit: if money is not a factor Asheville has some very nice living! I do believe you shooting opportunities would be better in Knoxville as Oak Ridge Shooting Association is a popular club. I'm not familiar with NC shooting opportunities but I'm sure there are some.