I have my wallet backed up on a USB stick. Encrypted of course!
Even if the firmware is evil it can't crack the encryption.
I have a backup of the wallet on several USB sticks and each one is encrypted with a strong (...and long) password,
I feel safe but probably the next cold storage will be on a paper wallet.
Yeah, of course my only backup is not on a USB, I have it on external harddrives, USB sticks, CD:s, DVD:s, on multiple file-upload sites (the file is of course not public), on a few mail addresses and so on (always heavily encrypted of course!).