From your list I don't find the best option because coinbase does not allow you to control the private key and your funds 100%,
I don't think that's true if you chose the multi-sig option:
https://www.coinbase.com/multisigsounds like the Bitgo multisig wallet actually.
even if you hold one signature and they hold the other, it would still be trusting a third party to hold half of it and you may get hurt.
besides you can do all these things yourself with a simple paper wallet so what is the point of that.
They hold 1 key and you hold two. Two keys are needed to spend. Technically, they hold two keys, but one is encrypted with your password. So, in theory, they can't spend your coins, and you can spend them without them. It looks pretty much the same as Bitgo.