I would suggest 3 locations. Have the main document at home, as @opher stated, in a safe or file cabinet. Make sure that your spouse, heirs, siblings, or adult children know where it is located, and that you have one. Many times people are not aware of a will (or unaware of the location) which cause more stress and grief in an already difficult time.

Second, have one with your attorney if he or she created the document, or even if not, but you have a family attorney that you particularly trust. This should be a "copy" but still valid in case the original is not found for whatever reason.

Third, have a copy with the executor/trix of your estate. They do not have to know about the actual contents (sealing the will in an envelope is always a prudent choice), but in case the original is not found, this copy can be probated as easily (once authenticated) as the main copy that may be missing.

Also make sure that once and if you modify the will or add on a codicil to of course notify all of the parties of the fact.

I'd recommend having at least one copy in a fire-proof safe in your home, and another with whoever is named in the will as the executor. Another option is a safe-deposit box, but then you have to make sure the location of the box and key are known to the executor.