I was always wondering what could happen if myetherwallet.com website get hacked... so it's better to have the coins on a desktop wallet, instead of a web wallet?
It's a question because I a little bit afraid of web based wallets
Generally your coins are always on the blockchain - and if you control your private key you can access them.
The problem with online wallets is, that your private keys can be sniffed (they hack the website and copy your key and then move your coins on the blockchain).
Most safe wallet is desktop wallet on a secured computer.