justin,
A solid core, metal clad door slab costs about $80, deadbolt $15, misc hardware on top of that...could be done, but others have pointed out how easy it is to kick in a sheetrock interior wall, to get into a bedroom if desired.
The homak/stack-on metal box (about $80 for a small one) can be bolted inside a closet, but its door isn't very pry resistant.
Take a look at the metal contractor lock boxes (chest style, about $227 new, at Lowes)...when secured with two big padlocks, I'd say its about as secure as the low-end sentry gun safes, and gives much more volume. If you store cases of ammo (or concrete blocks for that matter) in the bottom, it quickly becomes too heavy to carry out. But I'd bolt it down anyway.
I see these contractor boxes at pawn shops frequently...I really like them.
Ditto what others have said about disquising the gun safe, whatever style you choose.