Bitcoin wallets is where you store your bitcoins. Without them, you cannot use bitcoins. But, selecting a secure wallet is important. In fact, most important.. Because, losing bitcoins means burning cash.
Now, according to my usage and researches and what I have found. These are the wallets which i found trusted and useful.
(1) Coinbase- they provide more privacy as they have their own privacy team separately. Best thing is that transactions are completely tax free.
(2) Blockchain- It has got the most number of usets. So no doubt on security. It's trusted most by miners too.
(3) Mycelium wallet- It's git very low transaction fees and provides the best backup system for private keys. You can use multiple wallets at once.
What are you meaning by tax free? As far as taxes any wallet should not be charging taxes.
It would be a government doing that info likely from exchange or such. But there is not link between a BTC address and taxes, you really need a exchange and to sell and have a profit to worry if it's enough to be taxable.