I have all sorts of guns, but prefer a handgun for personal defense, I just find it more convinient. If you're worried about penetration you can get
Glasers or other frangible rounds. I also have a very large and solid safe for when I'm not home. Any determined thief could probably break into it with a plasma torch, but it would take awhile and create a racket. I also have an alarm system, but the main reason I went for that was the attached fire alarm.
One other thing is to know your neighbors. Have an agreement to keep an eye on each other's houses for odd things. I will check on the neighbors if I see anything unusual and they'll do the same for me. They always know if I'm out of town and at least one has a key to the house. Of course this only works if you have trustworthy neighbors.