If you own a gun, it is your responsibility and in some states your legal obligation to store it safely. Safe storage means preventing accidental misuse and possible theft. Most new guns are sold with either a trigger lock or a cable lock provided. These can secure a gun from accidental misuse, but they are not designed to prevent theft.
To prevent theft, the best solution is a gun safe. While some people rely on hiding their guns, the truth is that burglars are very good at finding hidden items. Everyplace you might think of has been used before and burglars know most of them. There are a wide variety gun safes available from a $30 gun box for a compact handgun to $10,000 safe able to hold hundreds of different firearms. The common advice is to buy a bigger safe than you think you need. Most every gun owner ends up out-growing their safe at some point.
If you are buying a handgun, purchasing a small handgun vault designed for quick access is a good choice. Even if you end up buying more guns, most people find a use for the quick access safe and it is an inexpensive way to provide the protection you need for your first gun.
If your first gun is a rifle or a shotgun, then you are probably going to have to invest a little more. At this point, it is probably worth looking at something that will hold more than one gun. Chances are you will acquire those extra guns at some point and the price difference is minimal compared to buying a new and larger safe.
Finally, make sure any safe you use is secured. Large floor standing safes can be bolted to walls and the floor. Smaller handgun vaults can either be bolted or provide a wire than can be used to secure the safe to an anchor point. Not only does securing the safe make it more difficult for a thief to walk off with it, but it also makes it more difficult to break in to.