Churchill generally preferred to fly, and had three aircraft assigned to him over the war. Firstly Commando, a converted Liberator bomber; the long range of the Liberator allowed him to fly directly from Gibraltar to Cairo, then via Tehran to Moscow for the Second Moscow Conference of 1942 (some further details in [my answer] (https://www.reddit.com/r/AskHistorians/comments/2syu1b/how_did_world_leaders_travel_to_conferences/) to a previous question). By the time of the Tehran Conference in 1943, Churchill was using Ascalon, an Avro York (a transport aircraft derived from the Lancaster) that featured a few more creature comforts such as windows! The height of luxury was his last aircraft of the war, a C-54B Skymaster provided via Lend-Lease and fitted out with bedroom, conference room and galley as detailed in [an article in the November 1945 issue of Flight magazine] (http://www.flightglobal.com/pdfarchive/view/1945/1945%20-%202348.html). Churchill used the Skymaster from December 1944, flying in it to the Yalta and Potsdam Conferences.
Care was taken when selecting routes to minimise the possibility of interception, but there was always an element of risk with air travel; General Gott was killed when his aircraft was shot down on the way to Cairo in 1942, flying a similar route to the one Churchill had taken two days previously, and Air Chief Marshal Leigh-Mallory was killed in 1944 when the Avro York he was flying in crashed.
Churchill also travelled quite extensively by ship, sometimes for health reasons, crossing the Atlantic a few times in the RMS Queen Mary (requisitioned as a troop ship, but with some first class staterooms left for VIPs such as Churchill), and on various RN battleships and battlecruisers including King George V, Prince of Wales and Renown.
There's a short article about Churchill's travels, [Getting There: Churchill's Wartime Journeys] (http://www.winstonchurchill.org/publications/finest-hour/finest-hour-148/getting-there-churchills-wartime-journeys), at The Churchill Centre with several further references in the endnotes.
Churchill flew to many overseas appointments in his Liberator bomber, I believe Stalin used a DC-3. Molotov flew to the UK in 1942 in a PE-8 four-engined bomber/transport.
Route planning made it extremely unlikely that an enemy could affect an interception, as there were few long-range fighters and a lot of space available.