There is a company called Zanotti, which makes modular safes. You can assemble them right on the spot, including inside an existing closet. They are good when you want to put a safe where stairs would collapse under the weight of some safes, or in similar situations. In all but the biggest, each piece can be handled by one reasonably strong person. They can be disassembled for moving if necessary.
They are tough, but not fireproof, and not as heavy as some others, but they provide more protection than some cheap gun safes I have seen that are really tin cabinets.
If you want address, holler.