Trust it to an exchange and you're basically no better off than trusting real money to a bank -- worse off, in fact, because the lack of regulations means that if the exchange takes your money and runs you're SOL, while if a bank takes your money and runs it will be reimbursed (up to a limit) courtesy of the FDIC. Keep it in an offline wallet and you can be sure that no banker can abscond with it, but now your life's savings are tied to a single, stealable object.
That's true... for now. I think it would be beneficial for bitcoin if deposit insurance in bitcoin banks was mandatory and that it will happen sooner or later if/when bitcoin gets more recognition. Also the way bitcoin works could be seen as advantage over the traditional money transfers (credit cards/wire transfers) where transaction could take months to irreversibly settle.
Also note that if you decide to safeguard your bitcoins yourself you are better off then with real cash/gold. You need to keep your private key and there are many m:n encryption schemes where you divide your key to N pieces and need at least M of them to assemble it back. Those pieces can then be distributed geographically and i think that the level of safety would be good enough. (Assembling the keys to withdraw from such wallet would be quite inconvenient but you could deposit at any time... good for long-term savings).
In the end, it's all about options and i think that bitcoin gives you more of them.