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If you can tolerate a small risk that a service failure makes rapid recovery from the problem impossible, it really does not matter. However, for those requiring a robust solution that is resilient against failure of a single service, I have long recommended the following.
Having registered your domain, park the DNS at a separate DNS management host (such as EasyDNS or ZoneEdit). The reason for the separation is that, should your DNS host fail, or be otherwise inappropriate for further use, you can use the site where you registered the domain to change to a new DNS host. If your domain registrar fails, this will not impact your DNS in the short term. One assumes there would be ways in the long term to establish your domain with a new registrar.
None of your websites, mail servers and other services are hosted at your domain registrar or DNS host. As a result, if any mail server or web host fails, you have the ability within a few hours, to establish the service elsewhere should you encounter a failure that you judge cannot be circumvented in another manner.
The above is not the simplest solution, but it avoids single points of failure that leave you without recourse. Some will be so confident of their provider that they may choose to register the domain and host all services in the same place. They are entitled to their opinion, but experience has made me very leery of assuming a single vendor deserves that much trust. The simplicity of that approach would appeal to me only for domains with services that I do not regard as mission critical.
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