I think it's nuts that anyone uses an online wallet at all, which in my defeats a considerable amount of the anonymity and total control aspects that make BTC great.  But then again one of the main reasons I use bitcoins in the first place is because I'm paranoid as hell, so to each their own I suppose.

One thing though is that if you are not going to use an online service... make sure to encrypt your wallet and always have a backup on a thumb drive or other physically removed device.  Make sure to backup each time you add new receiving addresses or you'll never retrieve those coins if your wallet file gets corrupted or trashed in some way.