If your data is not backed up in 3 separate places, it's not backed up.
So to answer your question, you should have it on your drive where you access it. Stored on an external HD (or CD/DVD/ETC) in a fire proof safe and in the cloud (preferrably in an encrypted container). So if your house burns up and your fireproof backup fails, you'll have the cloud. If the cloud provider goes bust, you'll have your backups that you can restore to a different cloud provider.
If you don't want to store it "in the cloud" have a trusted friend store a backup drive at their house or put one in a safe deposit box somewhere. But the bottom line is, one backup of your primary data is not enough and never will be.