I did lots of interwebz searching.
Ultimately, they all can be opened if someone's got enough time and enough determination. The goal is to slow someone down.
Most of these home "safes" (really residential security containers) use 12 gauge steel for the body of the container - which isn't real thick. For laughs, I googled "cutting 12 gauge steel" to see what would come up.
A few tools...
(check this baby out) http://www.grainger.com/Grainger/DEWALT-Shear-4LF17
...and this fun page on the "sturdy safe" page.
You can always talk yourself into a more expensive and more secure container.
Figure out how valuable the stuff is you're keeping, figure out how much of it will be covered by insurance if it's stolen, figure out how likely you are to be the victim of a "quick smash and grab" opportunity type attack (the kind most likely thwarted by a relatively inexpensive residential security container type safe) and figure out how much you're willing to spend just to try and keep your gun(s) out of the hands of any bad guys. All that mental math, plus your checking account balance/credit limit will help you figure out how badass a safe you need.
Typically a "small" gun safe for around 1000/1500 will have more or less the following combination of features: sheetrock construction, 12 gauge steel, 8 to 10 bolts, (4 on each side and one top one bottom) a reinforced/protected combination lock, a fire sealed door. It'll weigh 450lbs or so.Spending more for a bigger safe gets the same construction but bigger.
After that, the manufacturers move up the line with thicker steel, better locks, better construction, more fire insulation etc...
Also, most simple attacks involve laying the safe on its side or attacking it with powerful swings from sledges and prybars. (Liberty has a video of this type of attack.) So bolting it down, especially in a location like a closet with limited room to work, is an important part of the protection.
Naturally, I purchased a top-of-the-line Brown Safe and use it to store my only gun, a Remington Express 870 youth model, the two hundred dollars in cash that I always keep in the house, and the seventy five dollars worth of jewelry my wife has accumulated from Target. Aside from that - it's all about fire protection for the family photos.