It's always a good idea to use a separate wallet for any BTC you're not planning to actively trade. A properly-secured local wallet is substantially more reliable than any exchange, since the exchange could go offline at any time with no warning. Unlike bank deposits, your funds on a Bitcoin exchange aren't insured in any way, so if the exchange disappears, there's a good chance your money's just gone.
Second that. People should also consider some kind of cold storage solution for large balances that are used as store of value. Of course, this option requires a spare computer lying around (some people use old netbooks or RaspberryPi's)
https://en.bitcoin.it/wiki/Cold_storage.
Paper wallets can also be a good solution.
For a more in depth analysis of wallet security check the wiki
https://en.bitcoin.it/wiki/Securing_your_wallet