On the flip side, if you're dealling with a hollowed out asteroid, potentially the walls could be METERS of granite or basalt like rock, in which case guns and even small military weapons would be "fine."

A large-ish asteroid, with more room than a typical ship, could have a very "neighborhood" feel to it, with a "mechanical area" that had crtical systems, kept very separate from the living areas, which could resemble apartment life or even a cruise ship, for that matter.