The only time that I shared clubs while golfing was when a friend of mine and I were coming home from work, and decided to play nine holes late in the day, on a course with little play. He had his clubs in the car, and I didn't. So, when he suggested that we stop for a quick 9, and I realized that going home to get my clubs wasn't an option, I consented, and then promptly beat my friend 1 up on the 9th hole. Otherwise, I would never share clubs on a normal basis. Anyway, most clubs require you to have your own set, or rent one of theirs.
Generally, I don't see any harm in sharing clubs on the range, but here is a little story that might change your mind. My daughter won a new driver as a door prize that is very similar to the Nike Sumo2, (before the Sumo2 came out), with a square head and sounds like an aluminum baseball bat when you hit a tee shot. She took it to her golf lesson and immediately saw increased accuracy and distance, which then led to a new sense of confidence in her game, and consequently, lower scores. Well, one of her teammates, intrigued by the shape and sound of the driver, asked to use the club at practice one day. After hitting a few balls the club face cracked. Not the shaft, the club face! We returned the club to the company, and they did eventually replace it, but the day after the club was broken, my daughter had a golf match, and appropriately had her worst round of the year. So, if you do share clubs, just be careful with whom you are sharing.