Mailbox security features come in varying degrees. The high-end ones are like miniature Fort Knox. The low-end ones come with an attachment of a padlock. The right one for you depends on your mail. If you don't typically receive mail that has cash in it, then a mailbox with padlock security is usually enough. If you need to secure your mail because it has valuables inside, then go for the high-end ones.
When shopping for a mailbox, it's easy to make the mistake of just assessing the look and design. However, mail burglars exist so you might want to factor-in security features more seriously.