1. wallet is stolen
Butterfly Labs has created a hard wallet where the private key is kept separate from the rest of the OS.
Other than that use Ubuntu/Linux with encrytped user partition just for one thing your Bitcoin storage.
Keep your coin clients under separate user accounts, and never mine where your client is.
2. there is a fork in the block chain, or major systematic problems with the whole coin system
Only seen it happen once, I didn't lose any coins, maybe mining pools lost some mining effort, it was fixed in less than 24hrs.