Alright, here's the dope.
Most gun safes are not very burglar-proof (you can sledge-hammer into the side). Because of this, don't worry too much about door bolts and the like. A good base-model safe will provide all the door protection you need against thieves. The important part is the amount of insulation found inside. Quite literally, it all involves the number of layers of type X gypsum found inside as well as the fire/smoke seal which will seal the interior from smoke damage.
The point is, some of the most expensive safes are no better, really, than the cheaper ones. The ones at Wal-Mart are not suitable for fire but can make decent anti-theft safes. No, they won't stop a thief who is targeting an expensive collection, but they will do great for smash-and-grab punks. The ones at Sam's do pretty well for fire.
Now, you can increase the fire-resistance of a safe by adding gypsum to the outside (but this will not be easy to do with the door). You can also pick out the closet in which you will store the safe and line it with type x gypsum before installing the safe. That will also help. Also, store the safe on an exterior wall, not in the center of the house, and try not to place it above a basement. Why? The center of the house will burn the hottest and be the last quenched. Also, if the house burns hot enough, it can fall into the basement and no matter how good the safe is, no how long the fire rating of the safe, if it falls into a safe among tons of hot coals, everything inside the safe is toast. Exterior walls help keep the safe from the most intensely hot core of the fire.
Ash