My retirement accounts (Roth IRA and traditional 401k) are with Fidelity. In the unlikely even that Fidelity goes under, what happens to my money - is it gone? If so, does it make sense from a risk management/diversification standpoint to move the Roth to another brokerage, such as Vanguard? That way, if Fidelity were to go under, I would still have some assets at Vanguard (assuming whatever took Fidelity down doesn't take Vanguard down with it).
There's some risk, but it's quite small:
The only catastrophic case I can think of is if the brokerage firm defrauded you about purchasing the assets in the first place; e.g., when you ostensibly put money into a mutual fund, they just pocketed it and displayed a fictitious purchase on their web site. In that case, you'd have no real asset to legally recover.
I think the more realistic risks you should be concerned with are:
The only major brokerage firm that I'm aware of that accepts liability for theft is Charles Schwab: http://www.schwab.com/public/schwab/nn/legal_compliance/schwabsafe/security_guarantee.html
If you're going to diversify for security reasons, be sure to use different passwords, email addresses, and secret question answers on the two accounts.
The article http://www.forbes.com/2008/09/15/bearstearns-lehman-compliance-pf-ii-in_js_0915soapbox_inl.html does a nice job explaining SIPC insurance coverage. The coverage is currently $500k total / 250k of which can be cash, that's the one update I'd offer.