In this day and age of near Big-Brother levels of surveillance (and we're not just talking about that terrible excuse for a television show here), you pretty much have to have some way of identifying yourselves to the authorities in a pinch. Whether you're smuggling illegals across the border, visiting your hidden Swiss money stash or just trying to get into a bar, someone, somewhere is going to want to know exactly who you are.
Because we haven't quite committed to switching over to tattooed barcodes or thumb-print scans (yet), we have to stick with little bits of paper with various types of information on them. The downside is that they are much easier to lose and/or fake; the upside is that it hurts a lot less if someone tries to steal your identity. And it's a lot simpler if you ever run into a situation where "losing" your identity is your only choice.
All of this means, of course, that you have to find some way of storing these little bits of paper. Which leads to an interesting conundrum: which will you chose? Which suits your personality best? When the heck are they going to stop messing around and universalize the thumbprint scan technology?
In Your Pocket
This is the choice for minimalists, whether they're hiking the Appalachian Trail, leaving their trailer on a beer run, or getting wasted on the dance floor. Do you not want to carry more than you have to? Do you have a convenient extra fold of fabric built into a piece of your clothing? Excellent! You can join the millions who keep a very important document in a very unsafe place.
That's right; it's very easy for an identification card to fall out of your pocket, or for someone to steal it. Sure, it's fine when you're a girl and you're wearing very, very tight pants (and not sitting down and cracking said card). In fact, the wearing of tight pants by (attractive) women should be encouraged, if only for this one reason. But in general, this method of storage is employed by people willing to play it fast and loose, who aren't particularly responsible.
In Your Wallet
The wallet is the standard choice of identification storage for most men (and some women). The extra protection and comforting weight of the wallet in your pocket makes your documentation more secure than letting your personal identification float around by itself, and it makes it easier for you to realize if it goes missing.
In addition, you can use your wallet as a way of expressing your unique identity. Is it made of expensive leather? Sheet metal? Duct tape? For every personality type, there's a wallet to match.
The only problem with this storage method is that, if it gets too thick and you put it in your back pocket, you can actually cause structural damage to your butt muscles and your back (http://www.acatoday.org/content_css.cfm?CID=73). Yep, that's a fact. You have to decide between possibly being extradited across country lines, or permanently damaging an essential part of the anatomy. Hard choice, huh?
In a Purse
Many women choose to store their personal identification in a purse. What many men don't realize is that this is not only a form of storage, but also a form of defense. It's virtually impossible for anyone other than the owner of the purse to find a desired item within (and even then, it's not a certain bet). The magical properties of the purse make it so that even if a person were to steal the purse itself and empty out the entire contents, the thief would have a difficult time finding anything useful among all the receipts, lip glosses, hairbrushes, small toys, mismatched socks, living plants, etc. The purse is like a portal to another dimension, with any item placed inside it likely to disappear for good.
This, of course, is the reason that it takes forever for a woman with a packed purse to find her identification during times of need. Safety is sometimes a double-edged sword.