I currently keep mine in a blockchain.info wallet as it was recommended to me a while back. I would certainly be interested to hear if there is something more desirable though.
Electrum. I could never recommend storing your bitcoins online, sorry.
But the two factor authentication in blockchain.info doesn't make it more secure?
Or even better any local storage that uses the two factor authentication, does it exist?
This has been said hundreds of times, and shall be said again. Blockchain.info does NOT have access to your unencrypted private keys, it's not an online wallet since a thief can't hack their database and steal loads of passwords. The only way you would lose them on Blockchain would be to login while a hacker implemented some malicious javascript, but I still think that's yet to happen..