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A paper wallet is actually a piece of printed paper with a private key on it. If done right, it's never been on the internet at all so it's the most secure way to own your own private key. You can find out more here: https://en.bitcoin.it/wiki/Paper_wallet

Blockchain.info is a web wallet which is a little different. It's a good site though and I've used it for years.

Now I am enlightened, thanks a bunch.