Where you hold your crypto tokens/digital assets. There are two types of wallets, hot and cold. Hot wallets are always connected to the internet like MetaMask. Cold wallets are hardware wallets that take your assets off chain and are more secure. Cold wallets can be linked to hot wallets.
Wallets also connect you to web3 apps and verify your identity. Another thing worth mentioning is domains. ENS is one we recommend and is linked to the ethereum mainnet. Because of this, it is supported in many other protocols.
ENS setup, a visual step by step
Crypto for Beginners: How to Setup Your First Wallet
A Quick Guide to Crypto Cold Storage for Ethereum NFT Holders