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