tgearrey: Sawgunner is right about the usual thickness of walls in houses, unless you are going to construct the wall or the room that will house the gun safe.
One of the shallowest, from front to back, that I have seen is the Homak, sold by Shooters. It is 10" thin, 19" wide and about 50" high. That is sufficiently thin to fit between wall studs, usually at 24" on center, but it's a bit deep for your average wall thickness.
There are some I see on occassion in different magazines that are designed to mount into existing walls but they are small and hold one or two pistols or valuables. HTH. Mikey.