We've discussed this before. Both here and over on the sigforum.com.
ITs not like a subject any one poster can really cover. Its so involved we could spend years and dozens of pages.
About the only really secure system involves poured concrete walls. 8" thick seems like a good starting point. Buy the door before you pour the walls. The opening size is critical.
Getting utilities inside then becomes interesting. You'll need plenty of electricity. You don't need a big hole to run ventilation into the room. But if you make it a run off the forced air furnace, be aware you'll need/want a way to exhaust the return air. Just remember a 6" hole will allow a bunch of air inside.
Where I live, its humid. AC in the summer and heat in the winter deliver dry air. Not too dry, here in our living room its 78 and 30% RH. If you want to buffer or moderate it in a safe, you can do so with wood walls. You can make it drier with a dehumidifier. They only run $100 or so. Size it to the room.
And insulate your room. If only for peace and quiet. Safe rooms are nice places to put your security system, too. If you have a video system, its also a great place. You can see whats going on outside.
Next solve where and how you're going to store your guns. Inside the room isn't a valid answer. Old style wooden gun display cases is a fairly good way. So are the super cheap stack-on style cabinets.
You might also want stud walls inside. And a nice drop ceiling, but not too low.
Oh, make sure your vault door is inward opening. If a tornado or such comes along and drops the house in your basement (or first floor if you pour it above grade), you don't want the debris trapping you. An inside emergency release is a nice touch. If not, you'll have to disassemble the door from the inside to get out. Don't worry, you'd have the rest of your life to accomplish it.
Just as a cell phone dialer is nice for your alarm, so too is a cell phone inside with an antenna thru the wall (test your reception.)
I'll think of more later. bye.