When you have bitcoin on a computer, phone, website, exchange or whatever.. you have the risk of being hacked or getting a virus that steals your bitcoin and/or private keys.
A secure solution is having a "cold wallet", so a device that doesn't touch the internet or a paper wallet. But obviously it is more difficult to send that money again.
The more ideal solution is a hardware wallet. The private keys are on the device and the transactions are signed on there. But sending money is possible from a web/PC/phone wallet, you just need to "confirm" (basically "sign") the transaction on the hardware wallet. This way you can only send the correct and real transactions.
^ My basic view on it

Not sure if 100% correct but I hope you get the idea. I do really think hardware wallets are the future. I am sure there will be a lot of competition and the hardware wallets will get cheaper. The Trezor is AFAIK the first (popular) hardware wallet

BTW 99bitcoins was doing a giveaway for 1 Trezor these coming days, you can join here:
http://99bitcoins.com/giveaways/novembers-trezor-giveaway/?lucky=1763 Yes, this is a referral link

Normally I hate referral links, but it seems relevant enough.