So I hear that Falkreath house is being bombarded with giants and sh*t. So I want to ask you:
Where should I build my house if I'm going to have a family and also where should I store all my treasures (Wine, Dragonpriest masks, Daedric artefacts etc.)

I would build your 'family' estate in Dawnstar. It is actually quite close to Whiterun, and the kids don't mind it. Leave your other artifacts either in Falkreath or Morthal. Or, you can have them in a prebuilt home (Breezehome, Hjerim, Proudspire Manor, etc.)

Windstad for me doesn't get attacked a whole lot. one or two giant attacks maybe... one skeever attack. Its been pretty much calm. Where as both the other places are under constant attack when I show up. Its rather annoying.