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I bought a new Superior Safe last year from Lonestar Gun Safes. The guys deliverying it had the Hilti gun tool and bolted it to the floor when they delivered it. Of course, it isn't moving anywhere.

The nicer safes also have tighter seals or overlapping seal points and it is much more difficult to get a pry bar in the gap. There are a few stores that speciallize in gun safes. I would recommend a visit as you can see a wide range of different price ranges and see what more money will get you. The mark up varies a lot as well so shop around.

You aren't going to get much thicker than 10 or 11 gauge walls and back without getting fairly expensive. I think the sub $1000 safes get a bit thinner than that. The sales brochures will give the thickness info. Most any safe won't stand up to a heavy sledge hammer and/or 6 foot pry bar indefinitely. Even the really expensive ones can be breached assuming the right tools and enough time. Thankfully, most burglars don't carry that stuff or have that much time.

Just my 2 cents.