Depends on the gun. Rimfires, as a group, don't take dry firing well. The firing pin usually impacts the chamber wall and raises a burr that interferes with chambering.
Most modern centerfire guns will easily take a moderate amount of dry firing with no harm whatsoever. Other will suffer burrs and other nastys when you get into the thousands of cycles.
Don't know about inline muzzleloaders and dry firing, but a traditional percussion gun should not be dry fired. The hammer will peen over the nipple, in most cases.
You can make your own snap caps from an empty cartridge case. Deprime it, and fill the primer pocket with silicon rubber. When the rubber is cured, cut it flush with the case head with a razor blade. Good for a moderate amount of dry firing. When the rubber starts showing wear, pry it out and replace it.
BTW, when Ruger introduced the Blackhawk single action revolver, I understand that a display fixture that cocked and fired the gun was part of the sales display at an NRA convention. It snapped the gun continuously for about four days, to demonstrate that Rugers could take dry firing.