The Novation Launchpad used in the above video is reasonably cheap ($250), too — but I bet learning how to use it well isn’t.
Michigan machinist GarE Maxton makes many different interlocking solid puzzles of this type, but this one, which he calls The Intimidator, is his masterpiece. Starting the disassembly process requires a special key. Once diassembled, about 20 of the pieces can be recombined to make a functioning single-shot pistol. Other parts of the puzzle separately and securely store “a customized set of tools, all necessary hardware, 45 caliber bullets, a standard sight, a laser sight, a cannister containing black powder pellets, a secure storage area for 209 shotgun primers, a spent primer removal tool and a ramrod for loading the bullets.”