There’s been plenty of spilled ink on the subject of bitcoin theft. The largest hack was the $460 million disaster at the Mt. Gox exchange in 2014. A few months ago, Bitfinex was taken for about $60 million.
It’s important to note that bitcoin and the blockchain that supports it have never been hacked; it’s companies that offer bitcoins that are at risk. Choosing one is like picking the bank with the best security.
Most experts suggest opting for exchanges with the biggest volume, the smallest transaction fees and the closest proximity to the user (e.g., a U.S.-based exchange may be better for a domestic client).