Churchill travelled a lot during the war, Stalin very little; they met in Moscow in 1942 and 1944, Tehran in 1943 (the only time Stalin travelled by air, as far as I know) and Yalta in 1945.

Looking at Churchill's first journey to Moscow in 1942 in more detail (as I've posted about it a couple of times before) he flew from Britain to Moscow via North Africa, stopping there for a week or so, in a modified B-24 Liberator [named "Commando"] (http://www.iwm.org.uk/collections/item/object/205189669), subject of [an article on the Smithsonian website] (http://www.airspacemag.com/history-of-flight/travels-with-churchill-136166507/?all). The long range of the B-24 was important, as the usual route for Allied aircraft to the North African theatre (and the original route proposed for Churchill) started from Takoradi in Ghana (the Gold Coast, as was) and took five or six days travelling across central Africa before heading north to Cairo (as illustrated on [this map] (http://www.ibiblio.org/hyperwar/AAF/I/maps/AAF-I-10.jpg)). The B-24 could fly directly from Gibraltar to Cairo.

The first leg of the journey was Lyneham to Gibraltar, arriving the morning August 3rd, which Churchill describes as uneventful in The Hinge of Fate. That evening they took off at 6pm, cutting across Spanish and Vichy territory with an escort of four Beaufighters, flying across North Africa largely in darkness, seeing "in the pale, glimmering dawn the endless winding silver ribbon of the Nile" (ibid) on the morning of August 4th. Churchill visited the Alamein positions on the 5th, and appointed General Gott to command the Eighth Army. On August 10th Churchill departed Cairo for Tehran, then on to Moscow, arriving on the 12th. The conference lasted until the 17th, the return journey followed the same route in reverse, again including some time on the desert front.

By the time of the Tehran conference in 1943 the Axis had been pushed out of North Africa and Italy had surrendered making the journey slightly less risky; on that occasion Churchill sailed from Plymouth to Alexandria on the battlecruiser HMS Renown via Gibraltar, Algiers and Malta, then flew from Alexandria to Tehran via Cairo in an Avro York transport aircraft named Ascalon. Roosevelt travelled across the Atlantic on the USS Iowa, avoiding a friendly torpedo on the way, as detailed by u/nate077 in [this post] (https://www.reddit.com/r/AskHistorians/comments/50vdhb/how_did_the_big_three_travel_during_wwii/d77qnta/).

In general there was little risk of coincidental interception for aircraft avoiding combat zones, especially at night; integrated air defences, radar and night fighters were concentrated in the UK and Germany, and to a lesser extent other active theatres. Air travel always carried an element of risk, though; on August 7th 1942 the newly appointed Gott was flying in to Cairo, on a similar route to the one taken by Churchill on the 5th, when his aircraft was shot down and strafed on the ground, killing most of the passengers (somewhat ironic, given Gott's nickname of "Strafer"); this resulted in Montgomery being appointed to command the Eighth Army. Knowledge of exact routes was limited as far as possible to the aircrew themselves, as intelligence leaks were a risk (e.g. Yamamoto's aircraft was shot down in 1943 by USAAF P-38s acting on "Magic" intelligence). Also in 1943 a BOAC DC-3 airliner was shot down as it flew from Lisbon to Britain, one of the passengers was the actor Leslie Howard; there are [numerous theories] (http://www.defensemedianetwork.com/stories/the-shoot-down-of-leslie-howard/) that the aircraft may have been deliberated targeted in the belief that Churchill was on board, or that Howard himself was the target due to his work with British Intelligence, or that it was merely a mistake. Air accidents were probably the main danger, numerous high ranking officers were lost in air crashes (e.g. Air Chief Marshal Trafford Leigh-Mallory, Lieutenant General Frank Andrews, Major-General Orde Wingate etc.)