Where to Hold Precious Metals

Currently, most of my bullion holdings are in ETFs.  However, I've started transitioning to physical holdings.

Recently, I've been adding bullion to a Self Directed IRA.  While it feels good to have physical possession of the assets, the downside of this approach has become clear.  First, the post office is involved.  When it comes time to sell assets, what shape will the post office be in?  Second, while deposit boxes have an excellent safety record, I do not believe assets in the boxes are insured.  Also, will they ever be vulnerable to the US government or other shady characters?

I'm curious about third party holding options like Bullion Vault or Hard Asset Alliance.  How safe are they compared to personal holdings?

How do you feel about the two methods of owning bullion?  What are the potential pitfalls of having a third party hold physical assets?