Binance is the most user friendly and has a wide range of assets.
You can withdraw to a personal wallet for a small fee.
Depends on the asset you are withdrawing, with ADA it has its own wallets like Daedalus or Yoroi.
If you are feeling flush buy a dedicated hardware wallet like Tezos or Ledger Nano-X.
There are software wallets like SafePal and TrustWallet if you prefer.