Paper wallet - it's all right there

Just make sure you check your sources and print from a clean box...and keep that piece of paper safe. Web, exchange; anything out of your hands is extremely likely to be compromised over a physical medium (assuming you're practicing safe storage methods).
Paper wallet is the way to go. I like to obfuscate the printed characters so that if the paper somehow gets into the wrong hands they'd have no clue what to do with it.