I prefer to hold my coins in a desktop or paper wallet sometimes I leave them on exchanges but only if I am trading them currently.
I'd hate see my balance disappear due to another MT Gox
I'd hate see my balance disappear due to another MT Gox
But how do you deal with market dips or even the chance of getting your passwords stolen? I am not so sure that an exchange is less safe than my own computer (with and intel processor).