A vault room is a viable option, but there are keys to choosing the room and decisions you need to make about security.
The best vault rooms are portions of basements or for homes in states without basements, 1st floor rooms make a good choice. The reason you choose a 1st floor or basement room is fire safety. Whatever means you decide to use to make the room fire resistant, falling 8 feet from a second story is just not a good thing.
The best scenario is constructing a vault room during the construction of your home. This allows you to use 8", 10" or 12" concrete block for the walls, reinforced with rebar and poured solid. The best choice for the ceiling is having a professional pour the ceiling 6" to 10" thick with rebar.
Why poured solid and reinforced you ask? Look at a 10 x 10 room with concrete block walls and a super duper vault door. The quickest route into the room is a sledge hammer or concrete saw through the block. Pouring the walls solid and reinforcing with rebar makes them less vulerable to attack, requires more time and effort, enough that most common theives, even real pros will choose easier prey.
Secondly the concrete provides good fire resistance, you basically want to isolate the interior of this room from heat and flame in case of fire. The one detail I have not looked into is how you block airconditioning vents in case of fire, I'm sure a workable solution could be developed, but it didn't apply to my personal vault room so I didn't worry about solving the problem.
For the maximum security on the door you want a steel door jam with steel binding clips set into the concrete block. Before the door opening header is placed, the door jam itself is poured solid with concrete.
The next step down in security would be a 2x4 or 2x6 framed room with steel plating or rebar placed in transverse holes in the studs so a potential burgler still has to contend with the noise/light (saw or torch) of cutting through steel to get his body into the room.
This design can provide good security, but requires more effort to ensure fire resistance. Professional quality ceramics like those used in modern fire proof safes are expensive, but provide the best protection.
The commercial fire blocking solution is 2 layers of 5/8" drywall layed such that no two seams overlap and all seams mudded in as the wall is constructed. This will slow a fire down, but is by no means fire proof. To go with this a sprinkler system could be used, just ensure that your firearms are inside some sort of cabinet and that the cabinet is elevated from the floor for flooding.
The next step down would be converting a standard interior room with standard studded walls and drywall. For a "vault door" in this case you could just as well use a steel entry type door as the level of protection in the walls is much less than whatever door you choose.
My personal solution is a gun/reloading room. Approximately 10x10 concrete block walls, poured and reinforced. Poured and reinforced ceiling. Interior is studded and insulated. Drywall finishing. Firearms are stored in a non-fireproof safe that is elevated off the floor. I have not yet installed a sprinkler system, but have given it thought. Room is independently airconditioned (wall unit) with steel antitheft bars on the outside.
I consider my investment moderately protected and will design an even more secure room if we ever relocate.
Ryan