Because of the amount of discussion about gunsafes, I thought it might be worthwhile to discuss the subject in some generality from a security viewpoint. I'm only going to discuss cabinets and safes, and won't discuss such measures as storing guns in concealed places.
No security measure is guaranteed to be successful, all it can do is buy you some degree of security by adding enough to the time, effort and equipment needed for a successful burglary - so that the most likely type of "burglar" you will face will get discouraged and fail.
So the first step is to evaluate what type of "burglar" you hope to defeat. (No safe can defeat the properly equipped and informed skilled burglar who has enough time. Equipment includes hammers, chisels, explosives, carbide tipped drills, power cutoff tools, burning bars, etc.)
The most common needs are to protect against the innocent prying fingers of children - both yours and others in your neighborhood. For this you can generally assume that the tools used will be fingers and perhaps a screwdriver. A gun "cabinet" often will suffice. This is a metal cabinet, built about as strongly as an office file or stationary cabinet, with a key lock which latches the door. It can be opened with a crowbar/prybar, or with an ordinary drill, but this type of entry would show obvious damage. In this case you'd be counting on a reluctance to damage the cabinet as a deterrant. However a break-and-enter burglar who is after the VCR, jewelery and who often carries a crowbar will not be deterred by this and will probably get the cabinet open in a very few minutes. In this same category should be included the neighborhood teenager-gone-bad type of criminal.
However a clever non-destructive child might take a cabinet as a puzzle to solve, and here the overall quality, including the quality of the lock, rather than pure strength becomes important. Locks vary greatly in quality, however the better quality locks aren't always used on a cabinet. A key-lock should really be of the "high security" type (e.g. Medeco) just to make access by a clever non-destructive child rather unlikely.
A combination lock should be of a quality type in terms of how many combinations there are. It is common to find a combination dial divided into 50 or 100 divisions and to require a series of 3 numbers - apparently giving 50^3 or 100^3 possible combinations. However, lower quality combination locks usually will be satisfied by hitting the correct number plus or minus 1 (e.g. if the 1st number in the combination is 47 then stopping the dial at any place between 46 and 48 will still allow the lock to be opened.) This allows a person using a systematic approach to dial-in many fewer combinations. Also, there is the question of what shows on the dial when the door has been opened. A quality lock will have a different number showing than the last number in the combination. If the last number stays showing then someone might glimpse it, and you're down to a two number combination. (Note that a 50 division dial, skipping three divisions each time, only has about 4,900 different three number combinations - a child could try all of them in a month of spare time. If the last number has been seen, we drop to one afternoon of trying. A 100 division dial is a bit better, but if one has to hit the correct number (plus or minus less than one division) and the last number doesn't show - then a 100 division dial has a million different combinations, and no longer can be defeated in any reasonable amount of time spent trying different combinations.) (Reading alt.locksmithing will remove some confidence in inexpensive locks.)
The next category, which rates the name of "safe" is a simple safe, but made of fairly heavy gauge steel (perhaps about 1/8" thick for the body, with a door 50% thicker,) with special attention paid to hinges, multipoint locking devices, pry-resistance, hard-to-defeat lock (such as the good quality combination locks described above,) and weight. (Weight, and how well fastened down is the safe, are considerations since if the burglars can carry off the safe then they can spend much longer on it and you've already lost it.) The safe will be manufactured by welding the parts together, rather than using internal brackets and/or rivets. The low end of the safe category will weigh a few hundred pounds (for a safe about 5'x2'x1') and will cost perhaps $600 - $1,000 depending on how it is outfitted, the brand, etc. There will usually be a combination lock, often a non-manipulable UL listed combination lock, which is protected by extra armor plate, plus multipoint locking. It is common for the locking/opening handle to push out several locking bars, plus to have some more fixed (passive) locking bars on the hinge side of the door, and to have a "relocking" device which jams the locking system if the lock gets physically attacked. (Yes, you then need to have a professional come in and cut into the safe to open it, but the criminal entry has been defeated.) Also the locking/opening handle has a "clutch" or "shear pin" in the linkage so that only a limited amount of force can be applied to the locking mechanism.
The casual burglar carrying a crowbar is unlikely to be able to penetrate this type of safe.
Good hinges are either hidden or arranged in such a way that even if they are cut off that security isn't compromised. (A recessed door with lock bolts on both sides still retains all of its security even if the hinges are totally removed. Without lock bolts on the hinge size, then the door could be swung away after removal of the hinges.)
At the low end of the range the weight is low enough that a homeowner might reasonably move in the safe and install it with the help of another person or two. As the weight goes up, the (not cheap) services of a safe-mover/installer becomes more important. Also one has to start to get concerned about the load bearing capability of the floor where the safe is to be installed. If, because of these considerations, the safe is installed in a basement then humidity becomes an important concern. Common measures are silica absorption boxes or a simple low-wattage heater inside the safe. Many safes are drilled for the electrical cord.
As the price goes up, the thickness of the body and door and the amount of hardplate increases (with a body perhaps 1/4" thick and the door 50% thicker,) the locking system gets more extensive (more bolts) and "independent" in the sense that defeating one aspect leaves the others untouched. There may also be features, such as a combination lock dial which locks into a fixed position with a key, which improve security. As the safe is improved in these ways, it becomes more and more resistant to burglars, until you reach the point that only the most skilled and well equipped burglars have a chance. As improvements are made, and as it becomes necessary for burglars to take a longer time, one can also shorten the time that they have by installing an alarm system. The really good safes have extremely strong construction, quite thick walls made up of multiple types of materials (to defeat many types of attacks) and are very heavy, and their thick walls greatly decrease the inside capacity. (Interior capacity is of great importance if you have a collection of long guns - they take up a lot of space.)
A valuable collection very well may rate the protection of one of the better safes - and an insurance company may require this (and an alarm system) as a condition of insurance.
One inexpensive and elementary precaution is to hide the existence of the safe. While one can seldom do a perfect job, at least make sure that the safe isn't visible from outdoors. It can be in a closet, or screened in some other way, but you gain a lot of effective security by keeping it from being an attractant (a safe implies valuable posessions) and have it be a surprise to a burglar who we hope will not have sufficient tools/time to deal with the safe.
The types of safes discussed generally don't provide fire protection. They are specialized towards protection against penetration. In some cases a fire-resistant lining is available. Inexpensive fire protection safes/cabinets generally have insulation which keeps up the interior humidity (and therefore produces rust) and are no more secure than a filing cabinet. They are meant to contain paper records of no intrinsic value, but which are needed for the business. So there is essentially no interest in keeping out burglars, but mostly in preserving them against a fire. Paper doesn't mind humidity. The insulation is made of stuff which has lots of 'water of hydration' bound in it and which then breaks down, emitting water vapor when there is a fire, and which keeps the interior below paper ignition - until the insulation is all dried out. Some of the more expensive units have more regular insulation (silica fibers or something) and don't affect the humidity. But for the ones with water of hydration, you get a bad environment and poor protection of the guns - all for the same low price. You can get regular safes with fire insulation - they can be very good - but you pay more and get less interior space.
Some brand names - Homak, Treadlock, Stowline and others make gun cabinets. Treadlock and Amsec make a variety of low-middle safes. Browning, Fort Knox and others make high end safes. Browning also makes middle grade safes - you really have to check to see what's available. (There are a lot more brands out there, with a number of brands selling identical safes from a smaller number of manufacturers, and I'm not endorsing any of the ones I mentioned, I'm just giving them as examples. Neither am I saying anything against any brands not mentioned. There are also a lot of Brand X safes, which might be worth considering.) Costs also depend on the interior furnishing (usually at extra cost) and, of course, on the size. The interior is the configuration of shelves, cubbyholes and long gun positions, usually giving a carpeted interior, which is very nice in avoiding scratches.
There is another approach to obtaining a very good gun safe at a very reasonable cost, and that is constructing it yourself. The materials which go into a safe are not particularly expensive, except for the combination lock. Whe you purchase, you're paying for a lot of labor and shipping. While it seldom pays to make something yourself if it is a mass-market item, large secure gun safes are not mass-market. Normally designing and constructing something like this would be impractical for anyone without a great deal of experience and skill. The difference here is that there is a book available "Gun Safe Plans" which includes everything you need to know, buy and do - in an easy to follow and well illustrated presentation. You don't even have to know how to weld, you can learn that as you go. You'd have to be willing to work hard, to follow instructions and to think about what you're doing - but you can end up with a quality safe which fits your needs - and paid for largely out of 'sweat equity' rather than cold cash. Write to WAMCO, P.O. Box 205, Peralta, NM 87042 and enclose $25 + $3 S&H, or ask for the brochure.
In addition to protecting a valuable gun collection (plus jewelery, etc.) and keeping irresponsible people from getting into trouble with your guns, you may also want to consider the safe as a way to keep guns from getting into the hands of criminals. Remember that you choose the degree of protection you want and can afford, and that any degree of security is better than none.