Security of wallets are generally the same. With minor difference the best security in wallet is YOU.
Learn about security, about internet/computers in general. It will help secure your wallet for sure.
I would argue that the difference of security between web wallets and just about every other kind is pretty significant, just because the former store your private keys online. This generally means your coins are always at risk, no matter what precautions you take.
But yeah, going off bob123's list, I personally wouldn't use anything below desktop wallets.