No wallet software can keep your coins safe if it has to store your keys in the same machine you use for your internet activities. You have to use either an air-gapped machine (also called offline or cold storage) or multi-signature.
Then there's also the issue about trusting what you have downloaded. Even if you run the software in an offline machine, if it's meant to steal your coins it certainly can do it. Do you trust Electrum's developers or whoever reviewed the code? What about the maintainer of the website (or Github)? Did you use SSL? Did you check the signature? Did you get the signature from a different and secure channel?
For now I'm trusting Armory, but I'm planning to move to multi-signature once I have time, and maybe use three different wallets to create the keys.
Losing the keys is a separate issue. You have to think about different scenarios like disk failure, data decay, a fire in your house, your friend dying and their family not letting you recover his part of your n-of-m backup, police raid, etc.