There are various types of crypto wallets like hardware wallets, paper wallets, desktop wallets, mobile wallets, etc. And choosing one of them depends on your requirements. When safety is the first priority, hardware wallets are the best option. They're foolproof and are virtually unhackable. This is so because of the various features that are available in these wallets.
1. These wallets won’t work until and unless they’re connected to a computer. When disconnected they are just a piece of metal.
2. The private key is safe inside the device itself and when not connected to the PC, it remains isolated. Whereas the exchanges (who are a third party software) stores your private key on an online server.
3. Also, as these hardware wallets are external devices, if your computer gets infected with a virus, then at least your wallet and private key will remain safe.
4. The hardware wallets possess the Two-Factor Authentication, making the transaction more secure, unlike the exchanges.