Security mesh is what you want, the last time I bought it I think it was about $80 a sheet but I bought it through a friend (See here:
http://amicoglobal.com/security-products/security-mesh/)
...........I've basically done this three times and have some lessons learned, see below which I found somewhere I had posted about this last year when the same question came up:
When I built my last house I had the contractor build a hardened room in one corner of the basement. I had initially told him I wanted the walls poured or CMU filled with concrete but after looking at the cost of that which would still leave the ceiling/floor above vulnerable decided to just have the walls be double OSB covered by a double thickness of sheetrock inside and out (increase in fire proofing)...I also had him install an exhaust fan and a slop sink and a steel exterior security door. This was in 2001 and at that time I believe everything was about $400, most of which was the door. Originally the door was hidden and covered by an oak book case stiffened with plywood on the back mounted to the wall on a piano hing, but while it would pass a casual inspection it was easy to spot if you were looking for it and you couldn't put many books in it before it was a pain to move.
The original gunroom was about 12X15 and I ran out of space by 2005 or so since I put work benches, reloading, drill, and shop presses in there.....so I needed to expand. My neighbor was in contracting and he built another wall outside the door to the gunroom giving me a small extra room where all the rifles were stored.....he installed another steel exterior steel framed door with hidden hinges and put heavy security wire mesh between the studs and the exterior sheetrock, he said it was something they used in constructing government SCIFs and you would have to use some sorta of chop saw blade to get through it. Medco deadbolts on both doors plus the normal door locks completed it......
Fast forward to last year. I moved to VA and had a contractor do the same thing in a unfinished area of the basement. This time I did the same as above (security mesh, OSB, drywall) except that I added two 4x4s on each side of the steel exterior grade security door so that the door frame couldn't be spread. The door had the same Medco dead bolt but I also added an electronic passage lock that automatically locks every time the door closes. I also installed an monitored alarm and motion sensors. .....plus I've got everything covered by collectors insurance.