The biggest differences are in the thickness of metal used in the construction, the number of active locking (and dead) bolts, and the fireproofing protection.
Safes can vary WILDLY in price.
I recently got a very good deal on a Ft. Knox Ranger, a discontinued model, and it was still just shy of $1,500, including delivery and a few extras.
Had I paid full retail for it, it would have been closer to $2,000.
Some of the safes that I was looking at were well in excess of $3,000, and came with active bolts on all four sides of the door. One even had diagonal corner bolts.
The biggest consideration is to get what you can afford and what will serve your needs going forward.
My hands were tied a bit in that I have some special considerations in where I could place the safe, and how large it could be to fit down the steps into my basement. It was a VERY tight fit.
Remember, no safe is proof against a very determined thief. Given enough time and the right tools, it can be breached. That's why a safe should be only one part of an integrated and layered defensive plan for your home.