First, you need to determine your risk tolerance for your emergency savings... which by nature of emergency savings, it should be very risk averse.
I have 6 months of expenses. Split 50/50 between Ally Bank Online High Yield Savings and in a separate taxable investment account (all in VTI). Both remain out of sight and out of mind.
So I have a little risk here, but I figure the worst case scenario would be a 25-30% drop in VTI (on a sustained basis, I believe a 40-50% drop could occur but would likely recover very quickly), which really means I have about 5.1 months of expenses very secure (and in the worst case scenario). I can sleep easily with this allocation.
Side note: while I'd like to build up my taxable investments, I am trying to max out all of the non-taxable accounts (and pay off debts).