The big difference though is then you have no one to blame but yourself when the local stuff fails. When your paying (either direct or through the ads or however the free sites are supported) you expect that service provider to fulfill their end of the deal. I know any hardware can fail so I know to keep multiple pieces of hardware. When someone else is providing a backup service then you would expect them to backup what they are doing.
There are other issues. The more hands touching your data the more chances of a breach. Someone can breach the backup service security and searches for bank and credit card statements easier than they can the cd's locked in your safe.
Another problem I found was limited space unless your willing to pay a lot so people will use more than one cheap or free service. I tried that, pictures on one, bank account info on another then when it filled up other documents on another, it was a big pain keeping track of which was for what and when I had last backed up each and taking the time to do the backups. of course thats the hardest part still, remembering what documents I put on what flash drive or when I last updated them. So I've started minimizing the number of places I put backups to make it easier to manage.