Help!!  I am really really really confused with bitcoin wallets.

The problem is the more research I do the worse the the conflicting information is.

So, after all this I am turning to this forum in the hope of some sanity and accurate information.

I understand that a wallet is just an address but what I really don't understand is where this wallet is kept.  I see there are websites which offer wallets and there are pieces of software which are wallets - apart from the obvious what are the differences / advantages / disadvantages?  If I download some software and install it on my PC, I assume I have to be connected to the internet otherwise I cannot see how I could receive bitcoins.

Some forums are saying BlockChain is a good wallet provider but quite frankly I think they're a bunch of sheisters.  I did create a wallet but had to ask for help when it came to problems backing it up but I never got a reply.  When I next logged in, my secondary password settings had mysteriously been disabled.  This really did not inspire me with much confidence as I am sure you can imagine.

Also there are forums trying to steer people away from online wallets in favour of software based ones.

Would someone please enlighten me.

Thanks