Unfortunately it boils down to which company owns them and the amount of $$ they're willing to spend. Most new substations being built all have solid walls, for example, rather than the much-cheaper chain-link fence, which helps a little, but not by much for someone who really wants to get in there. Rarely will a company do any cosmetic updates to an already-built substation, so I'm not surprised the ones in your area haven't changed.

The issue for making them more secure as far as I can tell (I'm fairly new to this field, and a designer, not an engineer, so my technical knowledge is still limited) is how volatile high-voltage electricity is. I'm not really sure what could be done to encase a substation against an attack that secures it against an outside projectile, while still being safe for on-site workers. We're talking hundreds of thousands of voltages here, and most substations are ginormous.