Are you asking what option lets you withdraw from BitSTAMP?
Across the top menu is Withdraw, and from there pick Bitcoin as the withdrawal method, which gives this link:
Now if you are asking where to withdraw your coins to, then that's a different question. There is not just one answer because various options regarding security will determine the best way to proceed.
If you are looking to store them for a long time, then a paper wallet, generated from an offline computer using a LiveOS might be the right recommendation.
Armory is another client that can be used offline and be very secure for storing bitcoins.
Or perhaps storing the funds using a hyrbrid EWallet, like the one from Blockchain.info/wallet is a good method because it provides a good tradeoff between convenience and security.
Others feel their coins are safe in a hosted (shared) EWallet provider like Coinbase, Paytunia or prefer to leave funds at an exchange even. If the exchange has two-factor authentication (done properly) that will help prevent the situation where even if your computer is compromised you EWallet account is not at risk of a replay attack.
Others want to run a full Bitcoin.org client themselves. This is an undertaking as initial startup can take a day or longer to download the blockchain. A future release of the Bitcoin.org client will make this initial and ongoing performance issue be much less of a burden. Other clients, Simplified Payment Verification (SPV) clients, such as Multibit.