Five million dollars stolen from the Sheep Marketplace: http://www.bbc.co.uk/news/technology-25185225, one million stolen from an Australian exchange, 4100 coins stolen from Inputs.io. Is it as easy as taking candy from a baby? It would seem like it, but the majority of thefts are security breaches and inside jobs. The Chinese exchange GBL disappeared with $4 million in bitcoin http://www.businessinsider.com/bitcoin-exchange-gbl-holding-41-billion-vanishes-2013-11. Many think this was an inside job from the beginning.
The largest bitcoin forum, bitcointalk.org has a thread dedicated to thefts: https://bitcointalk.org/index.php?topic=83794.0. A quick read there can help you understand who is getting robbed and how.
Is it even worth it to own bitcoin if someone is going to steal them from you? Well at this point, in computing power, there is only one way for someone to steal your bitcoins. They have to get your private key. If you are storing your coins in an exchange, you are at the mercy of the exchanges keys. If the exchange gets hacked, your coins could disappear with all of the other exchange members coins. Remember, bitcoin is an anonymous, decentralized crytocurrency. Once the coins are stolen, they can never be recovered.
How could someone get your private key? If you are storing your coins on a wallet app on your phone or PC, that key is located in a wallet.dat file. Hackers know this, and have specifically created malware that searches for wallet.dat files.
The most important thing you can do is make sure your computer, or phone, is secure. Taking a look at my router log file, I can see that every minute or so someone is pinging my router. The pings usually come from Russia or China, and they never stop. These are people that first, want to identify my computer, and second, install malware or explore the hard drive. The firewall on my router, and the second firewall on my computer seemingly protect me. But, there are always threats. The biggest threats come from Java exploits https://www.google.com/#q=java+exploits&safe=off. If you are going to start storing bitcoins on your PC, you probably want to remove any sort of Java.
Phones are less of a concern in regards to malware, but public wifi networks do pose a threat. You probably do not want to store large amounts of bitcoin on your phone because of this. You can always have multiple wallets, and refill your phone as needed.