Steel entry doors from the big box stores are typically 26 or 28 gauge, have wood framing (exposed) around the slab, are usually filled with the elcheapo polystyrene foam (think $2.99 cooler from the gas station) and are basically JUNK like others have mentioned. Decent steel dors from Jeldwen, Therma Tru, Polaris, Pella etc. are most generally a much heavier 24 gauge steel skins and either steel or LVL type perimeter slab frames.
But the best steel (and fiberglass) entry doors available anywhere (IMHO), are those from ProVia. They are an ultra heavy 20 gauge steel, with zero wood edge framing and filled with the closed cell polyurethane foam. It takes a strike with a baseball bat to even put a mark on them. They come pre finished from the factory (painted or stained), and pre-formed exterior cladding for the jambs and brickmold. Plus, they are VERY customizable from the jamb depth, width, height, even specifying the height and width of the finished brickmold so that the door slips right into the opening perfectly.
Are they a LOT more expensive that a home center POS? Sure.... absolutely. But, try telling the home center dude you want a 4-7/8" jamb depth rather than standard 4-9/16" because you want to cover a crappy caulk line from the previous door. Or tell him you want to add a bit of a spread in the mulls to make the door a little wider, or to REALLY cross his eyes, tell him you want 5/16" shaved from the top brickmold and 1/8" added to each side brickmold (with cladding pre-bent to those exact specs) so that you end up with a nice 3/16" gap around the perimeter to do final caulking. All you'll get are the sounds the principals secretary made in Ferris Buller's Day Off when Cameron called..... "Ummm.... Uhhhh.... Errrrrr.... Ahhhh.... Ummm." When he finally gets over the shock of you even asking, let alone even knowing what the hell you're talking about, NO will be his obvious answer.
ProVia entry door systems are simply the best doors I've ever used.