There are different types of Cardano wallets, each with its own benefits and drawbacks.
Cardano hot wallets are connected to the internet and are usually convenient to use, however, they are also vulnerable to online attacks. Examples include web-based, mobile, and desktop Cardano wallets. With Cardano cold wallets, your private keys are stored offline and out of reach of online threats. Examples include paper and hardware wallets.
Cardano wallets can also be categorized as custodial or non-custodial, depending on who holds the private keys. Storing your ADA in a custodial wallet means that a third party controls your private keys and, therefore, your ADA coins. In contrast, a non-custodial Cardano wallet allows you to fully own and control your ADA.