My experience in London, some 25 years ago:
I was stripping the house back, replumbing, rewiring, and redecorating at the time. I measured up the space under the stairs and selected a proper safe to fit that space. I chose a refurbished Chubb Banker's Treasury safe from a dealer in second hand safes who was advertising on eBay.
That is the first but of advice: if you can, build - or at least redecorate - around the safe. The safe goes in first.
It was put on a newly laid concrete pad. The safe weighs 2 1/2tons. It took a crane and 8 operatives to manoeuvre it into position, and they took a morning to do it. I had to take out a window for the safe to be swung into the house.
When the policeman came to look at it (it is a requirement in the UK that the police check your security arrangements) his first question was, 'Is it bolted to the floor?' (He was working from a check-list.) I told him that if he could pick it up and take it away, he was welcome to have whatever was inside. It was (and is) in my basement, so he would have to climb a flight of stairs to do so.
If you have guns stolen in the UK, you will never get permission to own firearms again. Some of the gun cabinets on sale are stupidly flimsy and obviously not up to angle grinders. My father used an old Chubb fireproof security cabinet that he took from his office, and that remains more secure than a new cabinet. My safe will be there until the end of time, and in addition to my guns it holds the wife's jewellery, legal papers (our wills), and some silver that I have bought. Safes are on a 'build it and they will come' basis: you will be surprised at how quickly they get filled up: buy the biggest one that you have space for.
If you follow my route, it is worth doing some research on safes. Oddly enough, the older models - from the '60s and '70s - are better built than the modern stuff, which is built down to a price. Weight is good enough proxy for security. In the UK insurers rate safes, which is also helpful. A good safe will be made of layers of different materials, to defeat angle grinders, drilling, oxy-acetylene torches, and so on: even so, a safe only buys time; a determined thief will get in, you just want to make it as difficult as possible.
One final thought: the best tool to get into a safe is a pair of garden secateurs. Your villain will tie you up and and start threatening to lop off fingers and toes unless you open the safe for him. You defeat that with a time lock and - if you have a digital keypad - a silent alarm code which can be used to summon assistance (and that relies on having a monitored telephone line that will alert the telephone company if it is cut). But I'm a bit paranoid about keeping what is mine!
