I think the real answer is to encrypt the data. You can make the server as heavy as you want and bolt it to the ground with a thousand bolts, they can still pull the drives. Drives are cake to remove from a server as they are designed to be pulled easily. I would say the best answer is to insure the server. If you have home owners or renters insurance, it should cover it. You could put the server in a room with no windows and replace the door and frame with a steel door and frame. That's probably not the cheapest option though.