While this is true, it's extremely hard to keep your computer free of any kind of malware. There are many trojans that go undetected for enough time to do serious damage. I personally know a guy that, even with having anti virus installed, had 2500 BTC stolen from his personal computer.

So really, so far the most secure way to store Bitcoin is either to encrypt private key and only then store it somewhere, or print it out, store it in a safe and remove all traces from the computer. Better yet - use a locally hosted javascript app to generate the pair and never write it to disk, from where it could be recovered even after deletion.

I'm now working on developing a Bitcoin platform that will enable you to do exactly this - your private keys will be generated on your computer, encrypted with PBKDF2-derived passphrase from your password and only then stored on our servers. This way no one except you can ever touch the coins.