iPods are small and portable which makes them great for carrying around large music libraries, however because of these exact features you also expose the iPod to being lost, stolen, or damaged (dropped, electrical system malfunction in the car, fallen out of pocket into the toilet), heck my old iPod mini just stopped working one day.
And if you call apple for repairs they don't actually fix your personal iPod, they've got a whole bunch of already repaired units that they send out to people as replacements when your iPod is sent in for service which means you lose your music in this situation as well.
In short, you should always keep a backup of your purchases. You don't need to store it on your computer, in fact it's probably better if you didn't because even your computer can suffer a virus or various breakdown which will require it to be reformated. The cheapest back up solution I'd suggest would be a DVD burner, if you don't have one you can buy one for $30.00, and the DVD-R's themselves aren't all too expensive either and they store between 4-7 gigs.
Sorry for my little rant, I know it doesn't do you a whole lot of good in retrieving your stolen iPod or lost music now. But it could save you a headache in the future.