For Mail Security

Mails are delivered in the house almost everyday. I said 'almost everyday' because there's a day in a week that we don't get any. Our mailbox is just a typical residential mailbox you see in a neighborhood (mounted in a concrete).

I just wonder if there are locking mailboxes. How do they work? And if I get a locking mailbox for the house, do I have to have a key for it? I am just kinda curious. Will the post office allow homes to have lockable mailboxes?