An online wallet service could "lose" my bitcoins?
The loss refers to a few things, all centered around the simple fact that using an online wallet creates a SPOF (single point of failure).

Consider effects on your balance when:


Online wallet operator incompetence enables


Accidental deletion of private keys for addresses in which your balance is stored.
Security vulnerabilities in proprietary code may let someone else send your balance elsewhere or store your keys for theft if and only if your balance gets large.

Online wallet operator dishonesty enables


Operator or its government(s) to seize your balance.
Vendor lock-in if you cannot derive the private keys yourself (e.g. your password simply decrypts client-side private keys stored on the wallet service).
Theft if the Operator decides to close shop, be it a MAD scenario or theft of balance once private key is exposed.



One should only use an online wallet with these features:


Service cannot derive private keys

Private keys are stored encrypted
Keys are decrypted client-side
User is prompted to accept code updates
User is permitted to review client-side code before accepting updates

Service offers portability

Once decrypted, private keys can be shown to the user
User tests import to another wallet client, be it a service or fat client

Service offers two-factor authentication

Password and security token authentication
Security token is decentralized or wholly random (RSA, Google Authenticator, etc.)
Security token is hardware-based and single purpose (YubiKey)