I have used old .22 revolvers for years, firing the .22 nail gun loads. The benifit of this for me is that I have a gun that I can actually use if need be. I just bought a Charter Arms .22 with a 2" barrel for $125 used.
Of course this depends on local laws and where you train (schools, government property). There can also be a safety issue of having a live gun for firing blanks, but most of us do that anyway with shotguns.