If you hold your own gold, and it gets stolen, nobody is going to pay you back (unless you have some kind of insurance, which presumably could cover Bitcoins as well). Similarly, if you hold a gold certificate and a trusted party actually stores your gold, and it is stolen from them, you're in the same boat. Maybe they have a refund policy and enough capital to cover the loss. Maybe they don't. The point is, equal protections could be offered for Bitcoin.

Personally, I think that hardware wallets have the potential to solve this problem. Picture a device that contains your private key, and is capable of signing transactions (after you press a physical button). This thing could be designed such that it is physically incapable of leaking your private key via its USB port (or whatever). And maybe it has a little LCD screen that shows the transaction it's about to sign before you confirm. With something like that, there's really not a whole lot a bad guy could do to steal your Bitcoins.

Of course, if a bad guys does coax you into sending them Bitcoins via some more social-engineery-type means, that could be a problem. E.g. if they briefly took over a popular website and made it show their Bitcoin address rather than the real one, there wouldn't be a whole lot of recourse.